Strong approximation of fractional Brownian motion by moving averages of simple random walks. (Q1879522): Difference between revisions

Moving averages of a suitably nested sequence of simple random walks are shown to converge almost surely uniformly on compact intervals to the fractional Brownian motion \(W^{H}\) with the Hurst parameter \(H\in (\frac {1}{4}, 1)\) with the convergence rate \(O(N^{-\min (H-1/4,1/4)}\log N)\) where \(N\) is the number of steps in the approximation. For a more accurate type of approximation the same type of result is proved for any \(H\in (0,1)\) with the convergence rate \(O(N^{-\min (H,1/2)}\log N)\).