Weak convergence of integral functionals of random walks weakly convergent to fractional Brownian motion

Authors

  • Yu. S. Mishura Київ. нац. ун-т iм. Т. Шевченка
  • S. H. Rode

Abstract

We consider a random walk that converges weakly to a fractional Brownian motion with Hurst index H > 1/2. We construct an integral-type functional of this random walk and prove that it converges weakly to an integral constructed on the basis of the fractional Brownian motion.

Published

25.08.2007

Issue

Section

Research articles

How to Cite

Mishura, Yu. S., and S. H. Rode. “Weak Convergence of Integral Functionals of Random Walks Weakly Convergent to Fractional Brownian Motion”. Ukrains’kyi Matematychnyi Zhurnal, vol. 59, no. 8, Aug. 2007, pp. 1040–1046, https://umj.imath.kiev.ua/index.php/umj/article/view/3368.