L^p uniform random walk-type approximation for fractional Brownian motion with Hurst exponent 0 < H < 12

DOI10.1214/20-ECP367zbMATH Open1477.60065arXiv2007.15472OpenAlexW3115217884MaRDI QIDQ2064883FDOQ2064883

Authors: Alberto Ohashi, Francys A. de Souza 

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this note, we prove an $L^p$ uniform approximation of the fractional Brownian motion with Hurst exponent $0<H<frac12$ by means of a family of continuous-time random walks imbedded on a given Brownian motion. The approximation is constructed via a pathwise representation of the fractional Brownian motion in terms of a standard Brownian motion. For an arbitrary choice $epsilo{n}_k$ for the size of the jumps of the family of random walks, the rate of convergence of the approximation scheme is $O(epsilo{n}_k^{p(1-2lambda)+2(delta-1)})$ whenever $max0,1-fracpH2<delta<1$, $$.

Full work available at URL: https://arxiv.org/abs/2007.15472

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zbMATH Keywords

Gaussian processesfractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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Cited In (3)

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

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