Inequalities for the moments of Wiener i
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Jean MΓ©min; Yulia Mishura; Esko Valkeila
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Article
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2001
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Elsevier Science
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English
β 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.