Fractional Brownian motion and Martingale-differences

Ari Nieminen

Statistics & Probability Letters, 2004, vol. 70, issue 1, 1-10

Abstract: We generalize a result of Sottinen (Finance Stochastics 5 (2001) 343) by proving an approximation theorem for the fractional Brownian motion, with , using martingale-differences.

Keywords: Fractional; Brownian; motion; Martingale-difference; Weak; convergence (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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