Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

We study the possibility to control the moments of Wiener integrals of fractional Brownian motion with respect to the Lp- norm of the integrand. It turns out that when the self-similarity index , we can have only an upper inequality, and when we can have only a lower inequality.

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Year of publication:	2001
Authors:	Mémin, Jean ; Mishura, Yulia ; Valkeila, Esko
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 2, p. 197-206
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Stochastic integration Moment inequalities

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074758