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Rate of Convergence for Discretization of Integrals with Respect to Fractional Brownian Motion

✍ Scribed by Azmoodeh, Ehsan; Viitasaari, Lauri

Book ID
120739977
Publisher
Springer US
Year
2013
Tongue
English
Weight
260 KB
Volume
28
Category
Article
ISSN
0894-9840

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✍ 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.