Fractional Brownian motion and Martingale-differences
We generalize a result of Sottinen (Finance Stochastics 5 (2001) 343) by proving an approximation theorem for the fractional Brownian motion, with , using martingale-differences.
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Volume (Year): 70 (2004)
Issue (Month): 1 (October)
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- Tommi Sottinen, 2001. "Fractional Brownian motion, random walks and binary market models," Finance and Stochastics, Springer, vol. 5(3), pages 343-355.
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