A simple construction of the Fractional Brownian motion

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dc.creatorNathanael, Enriquez
dc.date2002-10-17
dc.date.accessioned2026-07-07T04:52:05Z
dc.date.available2026-07-07T04:52:05Z
dc.descriptionIn this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is the fractional Brownian motion. We have to use two radically different models for both cases ${1\over2}\leq H<1$ and $0<H<{1\over2}$. This result provides an algorithm for the simulation of the fractional Brownian motion, which appears to be quite efficient.
dc.description15 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/math/0210272
dc.identifierhttp://arxiv.org/abs/math/0210272
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/65337
dc.subjectProbability
dc.subject60F17, 60G15, 60G17, 60K37
dc.titleA simple construction of the Fractional Brownian motion
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