Oksana Banna

most citedApproximation of fractional Brownian motion by martingales

9 citations · 10 across the 2 of their papers we have counts for

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math.PR2020★ 1 cited

Distance from fractional Brownian motion with associated Hurst index $0 < H < 1/2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Oksana Banna, Filipp Buryak, Yuliya Mishura

We find the best approximation of the fractional Brownian motion with the Hurst index $H \in (0, 1/2)$ by Gaussian martingales of the form $\int_{0}^{t} s^{γ} d W_{s}$ , where $W$ is a Wiener p…

math.PR2012★ 9 cited

Approximation of fractional Brownian motion by martingales

Sergiy Shklyar, Georgiy Shevchenko, Yuliya Mishura +2

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…

Distance from fractional Brownian motion with associated Hurst index 0<H<1/2 to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Approximation of fractional Brownian motion by martingales

Distance from fractional Brownian motion with associated Hurst index $0 < H < 1/2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent