Approximations of fractional Brownian motion
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Publication:654403
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.
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Cited in
(30)- Modelling and analysis of fractional Brownian motions
- Fractional Brownian motion: theory and applications
- Weak convergence to the fractional Brownian sheet using martingale differences
- Convergence in law to operator fractional Brownian motions
- Asymptotic behavior of the weak approximation to a class of Gaussian processes
- Weak convergence to Rosenblatt sheet
- Weak approximation for a class of Gaussian processes
- Approximations of a complex Brownian motion by processes constructed from a Lévy process
- Fractional Brownian motion and long term clinical trial recruitment
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