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Random variables as pathwise integrals with respect to fractional Brownian motion

✍ Scribed by Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko


Book ID
122038028
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
243 KB
Volume
123
Category
Article
ISSN
0304-4149

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πŸ“œ SIMILAR VOLUMES


Inequalities for the moments of Wiener i
✍ Jean MΓ©min; Yulia Mishura; Esko Valkeila πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 115 KB

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 ΒΏ 1 2 , we can have only an upper inequality, and when H Β‘ 1 2 we can have only a lower inequality.