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Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

✍ Scribed by Jean Mémin; Yulia Mishura; Esko Valkeila

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 115 KB
Volume: 51
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00157-7

No coin nor oath required. For personal study only.

✦ Synopsis

We study the possibility to control the moments of Wiener integrals of fractional Brownian motion with respect to the L p -norm of the integrand. It turns out that when the self-similarity index H ¿ 1 2 , we can have only an upper inequality, and when H ¡ 1 2 we can have only a lower inequality.

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