Integral Transformations And Anticipative Calculus For Fractional Brownian Motions

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.

• | Author: Unknown
• | Publisher: American Mathematical Society
• | Publication Date: Aug 01, 2005
• | Country of Publication: United States
• | Number of Pages: 127 pages
• | Language: Not Available
• | Binding: Paperback|Softback
• | ISBN-10: 0821837044
• | ISBN-13: 9780821837047