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A weighted random walk approximation to fractional Brownian motion

Lindstrøm, Tom
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pm11-07.pdf (166.1Kb)
Year
2007
Permanent link
http://urn.nb.no/URN:NBN:no-23480

Is part of
Preprint series. Pure mathematics
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Appears in the following Collection
  • Matematisk institutt [2678]
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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