Fractional Brownian motion and martingale-differences

DOI10.1016/j.spl.2004.01.012zbMath1121.60036OpenAlexW2037265560MaRDI QIDQ868264

Ari Nieminen

Publication date: 2 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.01.012

zbMATH Keywords

weak convergencefractional Brownian motionmartingale-differences

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Related Items (16)

Approximation of the Rosenblatt sheet ⋮ Fractional Brownian sheet and martingale difference random fields ⋮ Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus ⋮ Stochastic heat equation and martingale differences ⋮ Weak convergence of the complex fractional Brownian motion ⋮ Operator fractional Brownian motion and martingale differences ⋮ A weak convergence to Hermite process by martingale differences ⋮ Approximation of fractional Brownian sheet by Wiener integral ⋮ A Fractional Donsker Theorem ⋮ Weak convergence to the fractional Brownian sheet using martingale differences ⋮ An Approximation of Subfractional Brownian Motion ⋮ Weak and strong discrete-time approximation of fractional SDEs ⋮ An approximation to the subfractional Brownian sheet using martingale differences ⋮ Some long-range dependence processes arising from fluctuations of particle systems ⋮ On weak approximations of integrals with respect to fractional Brownian motion ⋮ Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model

Cites Work

• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Brownian motion, random walks and binary market models
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