Journal article

Approximation Of Fractional Brownian Motion By Martingales

Year:

2012

Published in:

Methodology and Computing in Applied Probability

Authors:

, , , ,

Fractional 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.

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