Approximations of fractional Brownian motion
Statistics Theory
2012-01-05 v1 Statistics Theory
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.
Keywords
Cite
@article{arxiv.1201.0872,
title = {Approximations of fractional Brownian motion},
author = {Yuqiang Li and Hongshuai Dai},
journal= {arXiv preprint arXiv:1201.0872},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ319 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)