Convergence rate of multiple fractional Stratonovich type integral for Hurst parameter less than 1/2 |
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Authors: | Wang Baobin |
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Institution: | School of Mathematics and Statistics, Central South University for Nationalities, Wuhan 430074, China |
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Abstract: | In this paper, we have investigated the problem of the convergence rate of the multiple integralwhere f ∈ Cn+1(0, T ]n) is a given function, π is a partition of the interval 0, T ] and {BtHi ,π} is a family of interpolation approximation of fractional Brownian motion BtH 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 2H in the mean square sense, where is the norm of the partition generating the approximations. |
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Keywords: | fractional Brownian motion trace Stratonovich multiple integral convergence rate |
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