Integral Transformations and Anticipative Calculus for Fractional Brownian Motions
Author: Yaozhong Hu
Publisher: American Mathematical Soc.
Published: 2005
Total Pages: 144
ISBN-13: 0821837044
DOWNLOAD 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.