Article2014

An Approximation of Subfractional Brownian Motion

17 citations0/0 files storedCommunication in Statistics- Theory and Methods

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Fractional Differential Equations Solutions

Abstract

In this article, we obtain an approximation theorem for subfractional Brownian motion with H > 1/2, using martingale differences. The proof involves the tightness and identification of finite dimensional distributions.

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References

1975Weak convergence to fractional brownian motion and to the rosenblatt process 1999Stochastic Analysis of the Fractional Brownian Motion 2001Fractional Brownian motion, random walks and binary market models 2004A series expansion of fractional Brownian motion 2006Some properties of the sub-fractional Brownian motion 2008On the Wiener integral with respect to a sub-fractional Brownian motion on an interval 2009On the collision local time of sub-fractional Brownian motions 2000Weak approximation for a class of Gaussian processes

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