Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2

Biagini, Francesca ; Campanino, Massimo and Fuschini, Serena (2008): Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2. In: Stochastics, Vol. 80, No. 5: pp. 407-426

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.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 1744-2508
• Language: English