A random walk approximation to fractional Brownian motion

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Abstract

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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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Probability, 60F17, 60G15, 60G18

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http://salesiana.dossiersoluciones.com/handle/123456789/136062

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0708.1905
 http://arxiv.org/abs/0708.1905

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arXiv