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

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.

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Bibliographic Details
Date:	2007
Main Authors:	Mishura, Yu. S., Rode, S. H., Мішура, Ю. С., Роде, С. Г.
Format:	Article
Language:	Ukrainian English
Published:	Institute of Mathematics, NAS of Ukraine 2007
Online Access:	https://umj.imath.kiev.ua/index.php/umj/article/view/3368
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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