A random walk approximation to fractional Brownian motion

MaRDI QIDQ6206492zbMATH OpenFDO

Authors Tom Lindstrøm

Publication date 14 August 2007

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

Abstract: We present a random walk approximation to fractional Brownian motion where the increments of the fractional random walk are defined as a weighted sum of the past increments of a Bernoulli random walk.

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