Power law Pólya's urn and fractional Brownian motion (Q389275)

In this paper, the authors introduce a family of discrete random walks that scales to the fractional Brownian motion. These processes can be considered as a discrete counterpart of the fractional Brownian motion, in some sense the canonical fractional analogues of simple random walks on \(\mathbb Z\) as stated by the authors. After a rigorous definition of the random walks, the authors prove the convergence of the discrete processes to fractional Brownian motions in Section 3 of the present paper. They also show that their increments satisfy an FKG inequality and then prove the convergence in \(L^\infty\). The paper contains long and detailed comments about the meaning and possible applications of the obtained results, for example in finance. Moreover, this paper provides promising tools for simulations of discrete random walks. Finally, a remarkable section about open problems concludes this really rich paper.