In this paper we provide a discrete approximation for the stochastic integral with respect to the fractional Brownian motion of Hurst index H>1/2 defined in terms of the divergence operator. To determine the suitable class of integrands for which the approximation holds, we also investigate the relations among the spaces of Malliavin differentiable processes in the fractional and standard case.
F. Biagini, M. Campanino, S. Fuschini (2008). Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst index H>1/2. STOCHASTICS, 80, 407-426 [10.1080/17442500701594672].
Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst index H>1/2
BIAGINI, FRANCESCA;CAMPANINO, MASSIMO;FUSCHINI, SERENA
2008
Abstract
In this paper we provide a discrete approximation for the stochastic integral with respect to the fractional Brownian motion of Hurst index H>1/2 defined in terms of the divergence operator. To determine the suitable class of integrands for which the approximation holds, we also investigate the relations among the spaces of Malliavin differentiable processes in the fractional and standard case.File in questo prodotto:
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