Power law Polya’s urn and fractional Brownian motion
We introduce a natural family of random walks S[subscript n] on Z that scale to fractional Brownian motion. The increments X[subscript n] := S[subscript n] − S[subscript n]−1 ∈ {±1} have the property that given {X[subscript k] : k < n}, the conditional law of X[subscript n] is that of X[subscript...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Springer-Verlag
2015
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| Online Access: | http://hdl.handle.net/1721.1/93178 https://orcid.org/0000-0002-5951-4933 |