Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4664838 | Acta Mathematica Scientia | 2010 | 18 Pages |
Abstract
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.
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Mathematics
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