A random walk approximation to fractional Brownian motion
Probability
2007-08-15 v1
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.
Cite
@article{arxiv.0708.1905,
title = {A random walk approximation to fractional Brownian motion},
author = {Tom Lindstrøm},
journal= {arXiv preprint arXiv:0708.1905},
year = {2007}
}