2002/10/17 by Nathanaël Enriquez, Enriquez Nathanael, Nathanael, Enriquez
Economics, Econometrics and Finance · Mathematics · #60F17 #60G15 #60G17 #60K37 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60F17 #msc:60G15 #msc:60G17 #msc:60K37
paper · pdf · doi:10.48550/arxiv.math/0210272
15 pages, 3 figures
arxiv created 2002/10/17 · openalex publication_date 2002/10/17 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this work we introduce correlated random walks on \Z. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is the fractional Brownian motion. We have to use two radically different models for both cases 1\over2≤ H<1 and 0