[PDF.47fs] Integral Transformations and Anticipative Calculus for Fractional Brownian Motions (Memoirs of the American Mathematical Society)

Integral Transformations and Anticipative Calculus for Fractional Brownian Motions (Memoirs of the American Mathematical Society)

[PDF.xm43] Integral Transformations and Anticipative Calculus for Fractional Brownian Motions (Memoirs of the American Mathematical Society)

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 | #9056670 in Books |  Amer Mathematical Society |  2005-08-15 | Original language:English |  9.75 x7.00 x.50l,.60 | File type: PDF | 127 pages

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This paper 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. The rate of convergence for this approximation is obtained. The integral transformations are combined with the idea of probability structure preserving...

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