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Motivated by Mandelbrot's idea that Weierstrass' classical nowhere differentiable continuous function can be modified and randomized to approximate fractional Brownian motion, the authors introduce the complex stochastic processes \\(\\sum_{n=-\\infty}^{\\infty}f_t(n/a) (\\xi_n+i\\eta_n)/\\sqrt{a}\\), \\(t\\in R\\), and give several sufficient conditions on the functions \\(f_t\\) and the random vectors \\((\\xi_n,\\eta_n)\\) for their convergence in distribution, as \\(a\\to\\infty\\), to the stochastic process \\(\\int_Rf_t(u)(dB^1(u)+idB^2(u))\\), \\(t\\in R\\), where \\(B^1(u), u\\in R\\), and \\(B^2(u)\\), \\(u\\in R\\), are two independent standard Brownian motions. Several dependence structures for the \\((\\xi_n,\\eta_n)\\) sequence are considered (independence, strongly mixing sequences, martingale differences), and `convergence in distribution' means either `convergence of all finite-dimensional distributions' or `weak convergence in the function space \\((C[0,\\infty))\\)'.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2709706$B226ABBF-77D3-4A05-AD96-691EB6347A58","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Convergence of the Weierstrass-Mandelbrot process to fractional Brownian motion","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Convergence_of_the_Weierstrass-Mandelbrot_process_to_fractional_Brownian_motion"}}}}}