A Fractional Donsker Theorem |
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| Authors: | Peter Parczewski |
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| Institution: | 1. Institute of Mathematics, University of Mannheim , Mannheim , Germany parczewski@math.uni-mannheim.de |
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| Abstract: | We prove a Donsker-type approximation of the fractional Brownian motion which extends a result by Sottinen for the case H > 1/2 to the full range of Hurst parameters H ∈ (0, 1). The convergence is established by a Donsker-type theorem for Volterra Gaussian processes. The approximation is applied to weak convergence of fractional Wiener integrals. |
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| Keywords: | Fractional Brownian motion Invariance principle Weak convergence |
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