Distance from fractional Brownian motion with associated ...
Oksana Banna, Filipp Buryak, Yuliya Mishura·2020-06-26·via math.PR updates on arXiv.org
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 $\int _0^ts^γdW_s$, where $W$ is a Wiener process, $γ>0$.