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

  • 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
How to Cite
MishuraY. S., and RodeS. H. “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.
Section
Research articles