Title of article
A strong uniform approximation of fractional Brownian motion by means of transport processes
Author/Authors
Garzَn، نويسنده , , J. and Gorostiza، نويسنده , , L.G. and Leَn، نويسنده , , J.A.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
18
From page
3435
To page
3452
Abstract
We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H , and we derive a rate of convergence, which becomes better when H approaches 1 / 2 . The construction is based on the Mandelbrot–van Ness stochastic integral representation of fractional Brownian motion and on a strong transport process approximation of Brownian motion. The objective of this method is to facilitate simulation.
Keywords
Fractional Brownian motion , Almost sure convergence , Transport processes , Rate of convergence
Journal title
Stochastic Processes and their Applications
Serial Year
2009
Journal title
Stochastic Processes and their Applications
Record number
1578197
Link To Document