A strong uniform approximation of fractional Brownian motion by means of transport processes

DOI10.1016/J.SPA.2009.06.003zbMath1205.60063OpenAlexW2015272235MaRDI QIDQ734645

Louis G. Gorostiza, Jorge A. Leon, Johanna Garzón

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.06.003

zbMATH Keywords

rate of convergencefractional Brownian motionalmost sure convergencetransport process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Self-similar stochastic processes (60G18)

Related Items (9)

Strong approximations of Brownian sheet by uniform transport processes ⋮ A strong convergence to the Rosenblatt process ⋮ An explicit solution to the Skorokhod embedding problem for double exponential increments ⋮ On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals ⋮ The complex Brownian motion as a strong limit of processes constructed from a Poisson process ⋮ A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm ⋮ Rate of convergence of uniform transport processes to a Brownian sheet ⋮ A strong convergence to the tempered fractional Brownian motion ⋮ \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Rate of convergence of transport processes with an application to stochastic differential equations
• Strong approximation of fractional Brownian motion by moving averages of simple random walks.
• Stochastic calculus for fractional Brownian motion and related processes.
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• A simple construction of the fractional Brownian motion.
• Convergence and convergence rate to fractional Brownian motion for weighted random sums
• Rate of convergence of uniform transport processes to brownian motion and application to stochastic integrals
• Weak convergence to fractional brownian motion and to the rosenblatt process
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Weak approximation for a class of Gaussian processes
• An elementary introduction to the Wiener process and stochastic integrals
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications
• Almost Sure Convergence of Uniform Transport Processes to Brownian Motion
• Fractional Brownian motion, random walks and binary market models

This page was built for publication: A strong uniform approximation of fractional Brownian motion by means of transport processes