CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM 被引量：2

CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

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摘要 In this article, we study the rate of convergence of the polygonal approximation to multiple stochastic integral Sp （f） of fractional Brownian motion of Hurst parameter H 〈 1/2 when the fractional Brownian motion is replaced by its polygonal approximation. Under different conditions on f and for different p, we obtain different rates. In this article, we study the rate of convergence of the polygonal approximation to multiple stochastic integral Sp （f） of fractional Brownian motion of Hurst parameter H 〈 1/2 when the fractional Brownian motion is replaced by its polygonal approximation. Under different conditions on f and for different p, we obtain different rates.

作者胡耀忠汪宝彬

机构地区 Department of Mathematics Institute of Physics and Mathematics Graduate School of the Chinese Academy of Science

出处《Acta Mathematica Scientia》 SCIE CSCD 2010年第3期975-992,共18页 数学物理学报（B辑英文版）

基金 partially supported by NNSF of China (60534080) the firstauthor is supported in part by the National Science Foundation (DMS0504783)

关键词 Fractional Brownian motion multiple integral stratonovich integral convergence rate Fractional Brownian motion multiple integral stratonovich integral convergence rate

分类号 O211.6 [理学—概率论与数理统计] O212.1 [理学—概率论与数理统计]

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