CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

doi:10.1016/S0252-9602(10)60095-1

数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (3): 975-992.doi: 10.1016/S0252-9602(10)60095-1

CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

胡耀忠, 汪宝彬

Department of Mathematics\thinspace, |University of Kansas 405 Snow Hall, Lawrence, Kansas 66045-2142, USA|Wuhan Institute of Physics and Mathematics, Chinese Academy of Science, Wuhan 430071, China|Graduate School of the Chinese Academy of Science, Beijing 100039, China

收稿日期:2008-04-26 出版日期:2010-05-20 发布日期:2010-05-20
基金资助:
This work is partially supported by NNSF of China (60534080) and the first author is supported in part by the National Science Foundation (DMS0504783)

CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

HU Yao-Zhong, WANG Bao-Bin

Department of Mathematics\thinspace, |University of Kansas 405 Snow Hall, Lawrence, Kansas 66045-2142, USA|Wuhan Institute of Physics and Mathematics, Chinese Academy of Science, Wuhan 430071, China|Graduate School of the Chinese Academy of Science, Beijing 100039, China

Received:2008-04-26 Online:2010-05-20 Published:2010-05-20
Supported by:
This work is partially supported by NNSF of China (60534080) and the first author is supported in part by the National Science Foundation (DMS0504783)

摘要/Abstract

摘要：

In this article, we study the rate of convergence of the polygonal approximation to multiple stochastic integral S_p(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.

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

Abstract:

Key words: Fractional Brownian motion, multiple integral, stratonovich integral, convergence rate

中图分类号:

60G15

胡耀忠, 汪宝彬. CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM[J]. 数学物理学报(英文版), 2010, 30(3): 975-992.

HU Yao-Zhong, WANG Bao-Bin. CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM[J]. Acta mathematica scientia,Series B, 2010, 30(3): 975-992.

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CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM

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