Strong approximation of fractional Brownian motion by moving averages of simple random walks.
From MaRDI portal
Publication:1879522
DOI10.1016/S0304-4149(00)00078-8zbMath1047.60032arXiv1008.1702MaRDI QIDQ1879522
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
60G15: Gaussian processes
60G50: Sums of independent random variables; random walks
60F15: Strong limit theorems
Related Items
Strong approximation of stochastic processes at random times and application to their exact simulation, Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion, A strong uniform approximation of fractional Brownian motion by means of transport processes, Filtered Brownian motions as weak limit of filtered Poisson processes, \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
Cites Work
- Fractional Brownian motion and the Markov property
- Stochastic analysis of the fractional Brownian motion
- 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
- Fractional Brownian motion: theory and applications
- On the Random Walk and Brownian Motion
- An elementary introduction to the Wiener process and stochastic integrals
- Fractional Brownian Motions, Fractional Noises and Applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
