Acta mathematica scientia,Series B ›› 2011, Vol. 31 ›› Issue (5): 1694-1708.doi: 10.1016/S0252-9602(11)60354-8

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CONVERGENCE RATE OF MULTIPLE FRACTIONAL STRATONOVICH TYPE INTEGRAL FOR HURST PARAMETER LESS THAN 1/2

 WANG Bao-Bin   

  1. School of Mathematics and Statistics, Central South University for Nationalities, Wuhan 430074, China
  • Received:2010-10-06 Revised:2011-04-20 Online:2011-09-20 Published:2011-09-20
  • Supported by:

    The work supported by the scientific research fund of Central South University for Nationalities (YZZ09005).

Abstract:

In this paper, we have investigated the problem of the convergence rate of the multiple integral

{∫T0···∫T0 f(t1, ··· , tn)dBHπt1 ···dBH, πtn},
where f ∈ Cn+1([0, T]n) is a given function, π is a partition of the interval [0, T] and {BH, πti } is a family of interpolation approximation of fractional Brownian motion BHt with Hurst parameter H < 1/2. The limit process is the multiple Stratonovich integral of the function f. In view of known results, the convergence rate is different for different multiplicity n. Under some mild conditions, we obtain that the uniform convergence rate is Δ2H in the mean square sense, where Δ is the norm of the partition generating the approximations.

Key words: fractional Brownian motion, trace, Stratonovich multiple integral, conver-gence rate

CLC Number: 

  • 60G15
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