Convergence of trajectories in fractal interpolation of stochastic processes

Abstract

Abstract The notion of fractal interpolation functions (FIFs) can be applied to stochastic processes. Such construction is especially useful for the class of α -self-similar processes with stationary increments and for the class of α -fractional Brownian motions. For these classes, convergence of the Minkowski dimension of the graphs in fractal interpolation of the Hausdorff dimension of the graph of original process was studied in [Herburt I, Malysz R. On convergence of box dimensions of fractal interpolation stochastic processes. Demonstratio Math 2000;4:873–88. [11] ], [Malysz R. A generalization of fractal interpolation stochastic processes to higher dimension. Fractals 2001;9:415–28. [15] ], and [Herburt I. Box dimension of interpolations of self-similar processes with stationary increments. Probab Math Statist 2001;21:171–8. [10] ]. We prove that trajectories of fractal interpolation stochastic processes converge to the trajectory of the original process. We also show that convergence of the trajectories in fractal interpolation of stochastic processes is equivalent to the convergence of trajectories in linear interpolation.