Strong approximation of fractional Brownian motion by moving averages of simple random walks.

DOI10.1016/S0304-4149(00)00078-8zbMath1047.60032arXiv1008.1702MaRDI QIDQ1879522

Tamas Szabados

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.1702

zbMATH Keywords

fractional Brownian motionrandom walkmoving average

Mathematics Subject Classification ID

Gaussian processes (60G15) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Related Items (5)

Strong approximation of stochastic processes at random times and application to their exact simulation ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ Filtered Brownian motions as weak limit of filtered Poisson processes ⋮ A strong uniform approximation of fractional Brownian motion by means of transport processes ⋮ \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)

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