A weighted random walk approximation to fractional Brownian motion

Lindstrøm, Tom
Research report
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Year
2007
Permanent link
http://urn.nb.no/URN:NBN:no-23480

Is part of
Preprint series. Pure mathematics
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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.