On weak approximations of integrals with respect to fractional Brownian motion
AbstractWe study discrete-time approximations of integrals with respect to fractional Brownian motion BH, where the integrand X is a process with finite integral q-variation. In particular, we discuss schemes based on an integral representation of BH given by Decreusefond & Üstünel and Norros, Valkeila & Virtamo.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 79 (2009)
Issue (Month): 4 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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