Strong approximation of fractional Brownian motion by moving averages of simple random walks.

DOI10.1016/S0304-4149(00)00078-8MaRDI QIDQ1879522zbMATH OpenFDO

Authors Tamas Szabados

Publication date 22 September 2004

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

Full work available at URL https://arxiv.org/abs/1008.1702

zbMATH Keywords

random walkfractional Brownian motionmoving average

Mathematics Subject Classification ID

Gaussian processes (60G15) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Abstract: The fractional Brownian motion is a generalization of ordinary Brownian motion, used particularly when long-range dependence is required. Its explicit introduction is due to B.B. Mandelbrot and J.W. van Ness (1968) as a self-similar Gaussian process $WH(t)$ with stationary increments. Here self-similarity means that $(a^{-H}WH(at):tge0)stackreld=(WH(t):tge0)$, where $Hin(0,1)$ is the Hurst parameter of fractional Brownian motion. F.B. Knight gave a construction of ordinary Brownian motion as a limit of simple random walks in 1961. Later his method was simplified by P. R'ev'esz (1990) and then by the present author (1996). This approach is quite natural and elementary, and as such, can be extended to more general situations. Based on this, here we use moving averages of a suitable nested sequence of simple random walks that almost surely uniformly converge to fractional Brownian motion on compacts when $Hin(quart,1)$. The rate of convergence proved in this case is $O(N^{-min(H-quart,quart)}logN)$, where $N$ is the number of steps used for the approximation. If the more accurate (but also more intricate) Koml'os, Major, Tusn'ady (1975, 1976) approximation is used instead to embed random walks into ordinary Brownian motion, then the same type of moving averages almost surely uniformly converge to fractional Brownian motion on compacts for any $Hin(0,1)$. Moreover, the convergence rate is conjectured to be the best possible $O(N^{-H}logN)$, though only $O(N^{-min(H,half)}logN)$ is proved here.

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