Inequalities for the norms of integrals with respect to a fractional Brownian motion

Leszek Slominski and Bartosz Ziemkiewicz

Statistics & Probability Letters, 2005, vol. 73, issue 1, 79-90

Abstract: Integrals with respect to a fractional Brownian motion with Hurst index for integrands X={Xt;t[set membership, variant][0,T]} with possibly nonregular paths are considered. General inequalities for the norms of such integrals are given.

Keywords: Fractional; Brownian; motion; Stochastic; integral; norms (search for similar items in EconPapers)
Date: 2005
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