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.
Mathematics Subject Classification:
Acknowledgments
The author thanks Christian Bender for helpful discussions and comments.
Notes
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