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

Integrals with respect to a fractional Brownian motion with Hurst index for integrands X={Xt;t[set membership, variant][0,T]} with possibly nonregular paths are considered. General inequalities for the norms of such integrals are given.

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Year of publication:	2005
Authors:	Slominski, Leszek ; Ziemkiewicz, Bartosz
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 1, p. 79-90
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Stochastic integral norms

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

Persistent link: https://www.econbiz.de/10005319682