| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156104 | Stochastic Processes and their Applications | 2009 | 18 Pages |
Abstract
We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter HH, and we derive a rate of convergence, which becomes better when HH approaches 1/21/2. 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
J. Garzón, L.G. Gorostiza, J.A. León,