Distance from fractional Brownian motion with associated Hurst index 0<H<1/2 to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Abstract

Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Distance from fractional Brownian motion with associated Hurst index 0, Authors: Oksana Banna, Filipp Buryak, Yuliya Mishura , We find the best approximation of the fractional Brownian motion with the Hurst index $H\in (0,1/2)$ by Gaussian martingales of the form ${\textstyle\int _{0}^{t}}{s^{\gamma }}d{W_{s}}$, where W is a Wiener process, $\gamma >0$.