A new approach to fractional Brownian motion of order \(n\) via random walk in the complex plane (Q1125133)

The fractional Brownian motion \(b(.,n)\) of order \(n\) is defined as the limit of a random walk \(z_j: z_{j+1}= z_j+ R_jW_j\), where the complex random variable \(R_j\) takes its values in the set of the \(n\)th roots of the unit, \(\{\omega_k, k= 0,\dots, n-1\}\), and given \(R_j= \omega_k\), \(W_j\) is a Bernoulli variable in the direction \(\omega_k\), with values \(\pm|\Delta z|\), \(z\in\mathbb{C}\). An Itô stochastic integral is defined with respect to this process. A weak central limit theorem is proved for independent identically distributed random variables with \(n-1\) moments equal to \(0\) and \(n\)th moment denoted as \(\sigma^n\): their \(k\)-sum divided by \(\sigma^n\sqrt k\) tends to distribution of \(b(1,n)\). Finally, a Feynman-Kac formula and a Dynkin formula are done; entropy and Hausdorff dimension of the fractional Brownian motion \(b(.,n)\) are studied.