On weak approximations of integrals with respect to fractional Brownian motion

We study discrete-time approximations of integrals with respect to fractional Brownian motion BH, where the integrand X is a process with finite integral q-variation. In particular, we discuss schemes based on an integral representation of BH given by Decreusefond & Üstünel and Norros, Valkeila & Virtamo.

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Year of publication:	2009
Authors:	Slominski, Leszek ; Ziemkiewicz, Bartosz
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 4, p. 543-552
Publisher:	Elsevier

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005254542