Approximations of fractional Brownian motion
From MaRDI portal
Publication:654403
DOI10.3150/10-BEJ319zbMATH Open1230.60041arXiv1201.0872OpenAlexW2050624414MaRDI QIDQ654403FDOQ654403
Authors: Hongshuai Dai, Yuqiang Li 
Publication date: 28 December 2011
Published in: Bernoulli (Search for Journal in Brave)
Abstract: Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the one-parameter fractional Brownian motion is constructed using a two-parameter Poisson process. The proof involves the tightness and identification of finite-dimensional distributions.
Full work available at URL: https://arxiv.org/abs/1201.0872
Recommendations
- Fractional Brownian motion. Approximations and projections
- Approximation of fractional Brownian motion by martingales
- Approximation of rough paths of fractional Brownian motion
- Approximation of fractional Brownian motion by Wiener integrals
- Fractional Brownian motion: theory and applications
- Approximation of stochastic differential equations driven by fractional Brownian motion
- Approximation of stochastic differential equation driven by fractional Brownian motion
- Approximation of random variables by functionals of the increments of a fractional Brownian motion
- Fractional Brownian motion approximation based on fractional integration of a white noise
- An approximation of subfractional Brownian motion
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic integrals in the plane
- Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes.
- Weak approximation of the Brownian sheet from a Poisson process in the plane
- Weak approximation for a class of Gaussian processes
- Title not available (Why is that?)
- Lectures on topics in stochastic differential equations
- A simple construction of the fractional Brownian motion.
- Weak convergence towards two independent Gaussian processes from a unique Poisson process
- Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
- A Poisson bridge between fractional Brownian motion and stable Lévy motion
- Weak approximation of the Wiener process from a Poisson process: the multidimensional parameter set case
Cited In (30)
- Weak convergence to Rosenblatt sheet
- The complex Brownian motion as a strong limit of processes constructed from a Poisson process
- Fractional Brownian motion: theory and applications
- Weak convergence of the complex fractional Brownian motion
- Free-Knot Spline Approximation of Fractional Brownian Motion
- On the approximate discrete KLT of fractional Brownian motion and applications
- The Brownian fractional motion as a limit of some types of stochastic processes
- Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
- Approximation of the Rosenblatt sheet
- Convergence in law to operator fractional Brownian motions
- A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
- Weak approximation for a class of Gaussian processes
- Approximations of a complex Brownian motion by processes constructed from a Lévy process
- Superposition de d�formations cylindriques d'axes poissonniens dans le plan
- Random walks and subfractional Brownian motion
- Weak convergence for quasilinear stochastic heat equation driven by a fractional noise with Hurst parameter \(H \in (\frac{1}{2},1)\)
- Modelling and analysis of fractional Brownian motions
- Functional large deviations for Kac-Stroock approximation to a class of Gaussian processes with application to small noise diffusions
- Approximation of fractional Brownian motion by Wiener integrals
- Approximation of fractional Brownian motion by martingales
- Title not available (Why is that?)
- Operator fractional Brownian motion and martingale differences
- An approximation of subfractional Brownian motion
- \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
- Weak convergence to the fractional Brownian sheet using martingale differences
- Asymptotic behavior of the weak approximation to a class of Gaussian processes
- Fractional Brownian motion and long term clinical trial recruitment
- Approximation of fractional Brownian sheet by Wiener integral
- A note on approximation to multifractional Brownian motion
- Heuristic approach to some laws for brownian motion
This page was built for publication: Approximations of fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654403)
