CONVERGENCE RATE OF AN APPROXIMATION TO MULTIPLE INTEGRAL OF FBM |
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| Authors: | Hu Yaozhong Wang Baobin |
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| Institution: | [1]Department of Mathematics, University of Kansas 405 Snow Hall, Lawrence, Kansas 66045-2142, USA [2]Institute of Physics and Mathematics, Chinese Academy of Science, Wuhan 430071, China [3]Graduate School of the Chinese Academy of Science, Beijing 100039, China |
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| 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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| Keywords: | Fractional Brownian motion multiple integral stratonovich integral convergence rate |
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