Approximations of fractional Brownian motion

DOI10.3150/10-BEJ319zbMath1230.60041arXiv1201.0872OpenAlexW2050624414MaRDI QIDQ654403

Hongshuai Dai, Yu-Qiang Li

Publication date: 28 December 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0872

zbMATH Keywords

weak convergencefractional Brownian motionPoisson process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (15)

Approximation of the Rosenblatt sheet ⋮ Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes ⋮ Weak convergence of the complex fractional Brownian motion ⋮ Operator fractional Brownian motion and martingale differences ⋮ Approximation of fractional Brownian motion by martingales ⋮ Approximation of fractional Brownian sheet by Wiener integral ⋮ Asymptotic behavior of the weak approximation to a class of Gaussian processes ⋮ Weak convergence to the fractional Brownian sheet using martingale differences ⋮ The complex Brownian motion as a strong limit of processes constructed from a Poisson process ⋮ A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm ⋮ An Approximation of Subfractional Brownian Motion ⋮ Random walks and subfractional Brownian motion ⋮ \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \) ⋮ WEAK CONVERGENCE FOR QUASILINEAR STOCHASTIC HEAT EQUATION DRIVEN BY A FRACTIONAL NOISE WITH HURST PARAMETER H ∈ (½, 1) ⋮ Weak convergence to Rosenblatt sheet

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• Weak convergence to fractional brownian motion and to the rosenblatt process
• Weak approximation for a class of Gaussian processes

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