Integral Transformations and Anticipative Calculus for Fractional Brownian Motions
Yaozhong Hu
Jan 2005 · American Mathematical Soc.
Ebook
127
Pages
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About this ebook
A paper that studies two types of integral transformation associated with fractional Brownian motion. They are applied to construct approximation schemes for fractional Brownian motion by polygonal approximation of standard Brownian motion. This approximation is the best in the sense that it minimizes the mean square error.
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