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A simple construction of the fractional Brownian motion

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  • Enriquez, Nathanaël

Abstract

In this work we introduce correlated random walks on . When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is the fractional Brownian motion. We have to use two radically different models for both cases and .

Suggested Citation

  • Enriquez, Nathanaël, 2004. "A simple construction of the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 203-223, February.
    • Handle: RePEc:eee:spapps:v:109:y:2004:i:2:p:203-223
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    References listed on IDEAS

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    1. Mandelbrot, Benoit, 1969. "Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 82-111, February.
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    Cited by:

    1. Garzón, J. & Gorostiza, L.G. & León, J.A., 2009. "A strong uniform approximation of fractional Brownian motion by means of transport processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3435-3452, October.
    2. Bojdecki, Tomasz & Talarczyk, Anna, 2012. "Particle picture interpretation of some Gaussian processes related to fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2134-2154.
    3. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
    4. Hongshuai Dai, 2013. "Convergence in Law to Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 26(3), pages 676-696, September.
    5. Dai, Hongshuai & Li, Yuqiang, 2010. "A weak limit theorem for generalized multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 348-356, March.
    6. Sergiy Shklyar & Georgiy Shevchenko & Yuliya Mishura & Vadym Doroshenko & Oksana Banna, 2014. "Approximation of Fractional Brownian Motion by Martingales," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 539-560, September.
    7. Luis G. Gorostiza & Reyla A. Navarro & Eliane R. Rodrigues, 2004. "Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems," RePAd Working Paper Series lrsp-TRS401, Département des sciences administratives, UQO.

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