A strong convergence to the tempered fractional Brownian motion

ABSTRACT

In this paper, we give a strong approximation of the tempered fractional Brownian motion via transport processes and derive the rate of convergence.

KEYWORDS:

• Fractional Brownian motion
• rate of convergence
• strong convergence
• tempered fractional Brownian motion
• transport process.

MATHEMATICS SUBJECT CLASSIFICATION:

• 60F15
• 60G15
• 60G18

Acknowledgments

The authors would like to thank the anonymous highly diligent referee for their careful reading of the manuscript and helpful comments.

Funding

This research is supported by the National Natural Science Foundation of China (11271020) and the Distinguished Young Scholars Foundation of Anhui Province (1608085J06).