Power law Polya's urn and fractional Brownian motion
We introduce a natural family of random walks on the set of integers that scale to fractional Brownian motion. The increments X_n have the property that given {X_k: k < n}, the conditional law of X_n is that of X_{n-k_n}, where k_n is sampled independently from a fixed law \mu on the positive...
| Main Authors: | , |
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| Format: | Journal article |
| Published: |
2009
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