| Full text | |
| Author(s): |
Ohashi, Alberto
;
de Souza, Francys A.
Total Authors: 2
|
| Document type: | Journal article |
| Source: | Electronic Communications in Probability; v. 25, p. 13-pg., 2020-01-01. |
| Abstract | |
In this note, we prove an L-p uniform approximation of the fractional Brownian motion with Hurst exponent 0 < H < 1/2 by means of a family of continuous-time random walks imbedded on a given Brownian motion. The approximation is constructed via a pathwise representation of the fractional Brownian motion in terms of a standard Brownian motion. For an arbitrary choice epsilon(k) for the size of the jumps of the family of random walks, the rate of convergence of the approximation scheme is O(epsilon(p(1-2 lambda)+2(delta-1))(k)) whenever max {0, 1-pH/2} < g < 1, lambda is an element of(1-H/2, 1/2+ delta-1/p). (AU) | |
| FAPESP's process: | 17/23003-6 - Functional Stochastic Analysis and Applications |
| Grantee: | Francys Andrews de Souza |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |