Integral Transformations and Anticipative Calculus for Fractional Brownian Motions

Integral Transformations and Anticipative Calculus for Fractional Brownian Motions
Author :
Publisher : American Mathematical Soc.
Total Pages : 144
Release :
ISBN-10 : 9780821837047
ISBN-13 : 0821837044
Rating : 4/5 (044 Downloads)
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Book Synopsis Integral Transformations and Anticipative Calculus for Fractional Brownian Motions by : Yaozhong Hu

Download or read book Integral Transformations and Anticipative Calculus for Fractional Brownian Motions written by Yaozhong Hu and published by American Mathematical Soc.. This book was released on 2005 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


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