A0698
Title: Weak convergence of the partial sum of I(d) process to a fractional Brownian motion in finite interval representation
Authors: Kou Fujimori - Shinshu University (Japan)
Junichi Hirukawa - Nanzan University (Japan) [presenting]
Abstract: An integral transformation that changes a fractional Brownian motion to a process with independent increments has been given. A representation of a fractional Brownian motion through a standard Brownian motion on a finite interval has also been given. On the other hand, it is known that the partial sum of the discrete time fractionally integrated process ($I(d)$ process) weakly converges to a fractional Brownian motion in infinite interval representation. The weak convergence of the partial sum of the $I(d)$ process to a fractional Brownian motion is derived in the finite interval representation.
