Authors
Sergiy Shklyar, Georgiy Shevchenko, Yuliya Mishura, Vadym Doroshenko, Oksana Banna
Publication date
2014/9
Journal
Methodology and Computing in Applied Probability
Volume
16
Pages
539-560
Publisher
Springer US
Description
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.
Total citations
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Scholar articles
S Shklyar, G Shevchenko, Y Mishura, V Doroshenko… - Methodology and Computing in Applied Probability, 2014