Re: Bankroll Management in Limit Poker and Fractional Brownian Motion
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Is there a discrete model for fractional Brownian motion, or a way to obtain one from a standard Brownian motion?
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I don't know of any "canonical" discrete process which approximates FBM. But FBM can be written as
B_H(t) = \int_0^t{K_H(t,s)dB(s)},
where K_H is a certain kernel and B is a standard BM. I guess you could just approximate the BM in the integral by a random walk to get a discrete approximation to FBM.
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