A random walk approximation to fractional Brownian motion

Details A random walk approximation to fractional Brownian motion A random walk approximation to fractional Brownian motion

2007-08-14

arxiv.org/abs/0708.1905v1

Mathematics

Probability

Scientific paper

We present a random walk approximation to fractional Brownian motion where
the increments of the fractional random walk are defined as a weighted sum of
the past increments of a Bernoulli random walk.

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