Article ID Journal Published Year Pages File Type
4619023 Journal of Mathematical Analysis and Applications 2010 18 Pages PDF
Abstract

We construct a family Inε(f)t of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener–Itô integral with respect to the fractional Brownian motion. We assume that and we prove our approximation result for the integrands f in a rather general class.

Related Topics
Physical Sciences and Engineering Mathematics Analysis