A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algo...
A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
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Publisher
Cambridge, UK: Cambridge University Press
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Language
English
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Publisher
Cambridge, UK: Cambridge University Press
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Contents
We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (B
t
(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is...
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Full title
A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1395771410
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1395771410
Other Identifiers
ISSN
0021-9002
E-ISSN
1475-6072
DOI
10.1239/jap/1395771410
