Random Walks and Subfractional Brownian Motion
Hongshuai Dai
TL;DR
This paper demonstrates an approximation method in law for subfractional Brownian motion with H>1/2, using a sequence of i.i.d. random variables, contributing to the understanding of stochastic process approximations.
Contribution
It introduces a new approximation scheme for subfractional Brownian motion based on i.i.d. random variables, expanding the tools for stochastic process analysis.
Findings
Approximation in law to subfractional Brownian motion achieved
Convergence in the Skorohod topology established
Method applicable for H>1/2
Abstract
In this article, we show a result of approximation in law to subfractional Brownian motion, with , in the Skorohod topology. The construction of these approximations is based on a sequence of I.I.D random variables
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Stochastic processes and financial applications · Financial Risk and Volatility Modeling