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A strong uniform approximation of fractional Brownian motion by means of transport processes

A strong uniform approximation of fractional Brownian motion by means of transport processes,10.1016/j.spa.2009.06.003,Stochastic Processes and Their

A strong uniform approximation of fractional Brownian motion by means of transport processes   (Citations: 1)
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We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H, and we derive a rate of convergence, which becomes better when H approaches 1/2. 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.
Journal: Stochastic Processes and Their Applications - STOCH PROC APPL , vol. 119, no. 10, pp. 3435-3452, 2009
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