Random walks and subfractional Brownian motion

DOI10.1080/03610926.2014.889163zbMATH Open1342.60056arXiv1303.5161OpenAlexW1670432656MaRDI QIDQ2815969FDOQ2815969

Authors: Hongshuai Dai 

Publication date: 30 June 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Abstract: In this article, we show a result of approximation in law to subfractional Brownian motion, with $H>frac12$, in the Skorohod topology. The construction of these approximations is based on a sequence of I.I.D random variables

Full work available at URL: https://arxiv.org/abs/1303.5161

zbMATH Keywords

weak convergencefractional Brownian motionrandom walkssubfractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

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Cited In (10)

• Transition probability estimates for subordinate random walks
• Donsker type theorem for fractional Poisson process
• Divergence of a random walk through deterministic and random subsequences
• An approximation to the subfractional Brownian sheet using martingale differences
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Frank Spitzer's work on random walk and Brownian motion
• Approximation to two independent Gaussian processes from a unique Lévy process and applications
• Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics
• On subordinate random walks
• Title not available (Why is that?)

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