{
  "id": "1205.4559",
  "version": "v1",
  "published": "2012-05-21T10:43:45.000Z",
  "updated": "2012-05-21T10:43:45.000Z",
  "title": "Approximation of fractional Brownian motion by martingales",
  "authors": [
    "Sergiy Shklyar",
    "Georgiy Shevchenko",
    "Yuliya Mishura",
    "Vadym Doroshenko",
    "Oksana Banna"
  ],
  "doi": "10.1007/s11009-012-9313-8",
  "categories": [
    "math.PR"
  ],
  "abstract": "We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-05-21T10:43:45.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G22",
      "60G44",
      "90C25"
    ],
    "keywords": [
      "fractional brownian motion",
      "unique martingale closest",
      "specific sense",
      "optimal approximation",
      "approximation problem"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1205.4559S"
    }
  }
}