Stochastic processes and their applications, 2009-10, Vol.119 (10), p.3435-3452
2009
Details
- Autor(en) / Beteiligte
- Titel
- A strong uniform approximation of fractional Brownian motion by means of transport processes
- Ist Teil von
- Stochastic processes and their applications, 2009-10, Vol.119 (10), p.3435-3452
- Ort / Verlag
- Amsterdam: Elsevier B.V
- Erscheinungsjahr
- 2009
- Link zum Volltext
- Quelle
- EZB Electronic Journals Library
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0304-4149eISSN: 1879-209XDOI: 10.1016/j.spa.2009.06.003Titel-ID: cdi_crossref_primary_10_1016_j_spa_2009_06_003
- Format
- –
- Schlagworte
- Almost sure convergence, Exact sciences and technology, Fractional Brownian motion, Fractional Brownian motion Transport processes Almost sure convergence Rate of convergence, Mathematics, Probability and statistics, Probability theory and stochastic processes, Rate of convergence, Sciences and techniques of general use, Stochastic analysis, Stochastic processes, Transport processes