A strong uniform approximation of fractional Brownian motion by means of transport processes

J. Garzón, L.G. Gorostiza and J.A. León

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3435-3452

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; Transport; processes; Almost; sure; convergence; Rate; of; convergence (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(09)00109-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:119:y:2009:i:10:p:3435-3452

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().