Approximation of some processes (Q5933675)

It is considered a class of processes \(W_k(t)=\int_0^t K(t,s) dM(s)\), which have a moving average representation with respect to a fixed driving martingale \(M(s)\) (\(K(t,s)\) some deterministic kernel). In the case, when the driving martingale is Gaussian, a numerically efficient approximation scheme and a central limit theorem are obtained. A typical process of this class is fractional Brownian motion.