Convergence in law to operator fractional Brownian motions
Hongshuai Dai
TL;DR
This paper presents two methods to approximate operator fractional Brownian motions in law, one using Poisson processes and another extending a previous result by Taqqu (1975).
Contribution
It introduces novel approximation techniques for operator fractional Brownian motions, expanding existing theoretical frameworks.
Findings
Two new law approximations of operator fractional Brownian motions.
One approximation uses Poisson processes.
Generalization of Taqqu's 1975 result.
Abstract
In this paper, we provide two approximations in law of operator fractional Brownian motions. One is constructed by Poisson processes, and the other generalizes a result of Taqqu (1975).
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Complex Systems and Time Series Analysis