Fractional Brownian Motion - Approximations andProjections
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More About This Title Fractional Brownian Motion - Approximations andProjections
- English
English
This book studies the relations between fractional Brownian motion and other processes of more simple form. Financial applications are considered, when we study the financial markets with discrete time and memory and the limit market, constructed in continuous time, is related to fBm. As an auxiliary but with nteresting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via Wiener process are established and some new inequalities for Gamma-functions, and even for trigonometric functions, are obtained.
- English
English
1. Projections of fractional Brownian motion onto different spaces of Gaussian martingales.
2. An approximation of fBm by orther different classes of processes.
2. An approximation of fBm by orther different classes of processes.