Acta mathematica scientia, Series B >
CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM
Received date: 2008-04-26
Online 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)
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.
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 . DOI: 10.1016/S0252-9602(10)60095-1
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