Approximations and Projections
by
Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko
Language: English
Release Date: April 10, 2019
This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener...