A simple construction of the fractional Brownian motion

Nathanaël Enriquez

Stochastic Processes and their Applications, 2004, vol. 109, issue 2, 203-223

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 .

Keywords: Correlated; random; walks; Random; environment; Fractional; Brownian; motion (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (7)

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