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.
Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst index H>1/2 / F. Biagini; M. Campanino; S. Fuschini. - In: STOCHASTICS. - ISSN 1744-2508. - STAMPA. - 80:(2008), pp. 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
