| Publication type: |
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Article in peer-reviewed journal |
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| Subject: |
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Mathematics/Probability
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| Title: |
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Approximation of the finite dimensional distributions of multiple fractional integrals |
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| Author(s): |
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Xavier Bardina 1, Khalifa Es-Sebaiy 2, Ciprian A. Tudor ( ) 3 |
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| Laboratory: |
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| Abstract: |
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We construct a family $I_{n_{\eps}}(f)_{t}$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-Itô integral $I_{n}^{H}(f1^{\otimes n}_{[0,t] })$ with respect to the fractional Brownian motion. We assume that $H>\frac{1}{2}$ and we prove our approximation result for the integrands $f$ in a rather general class. |
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| Fulltext language: |
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English |
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| Journal: |
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Journal of Mathematical Analysis and applications |
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| Audience: |
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international |
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| Publication date: |
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2010 |
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| Volume: |
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369 |
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| Issue: |
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2 |
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| Page, identifiant, ...: |
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694-711 |
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