Journal article
Approximation Of Fractional Brownian Motion By Martingales
Year:
2012Published in:
Methodology and Computing in Applied ProbabilityFractional Brownian motion
Martingale
Approximation
Convex functional
We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exists a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.