A random walk approximation to fractional Brownian motion

2007/08/14 by Tom Lindstrøm, Lindstrøm, Tom
Economics, Econometrics and Finance · Mathematics · #60F17 #60G15 #60G18 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.0708.1905

openalex publication_date 2007/08/14 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/30

Abstract

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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