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A series expansion of fractional Brownian motion

✍ Scribed by Kacha Dzhaparidze; Harry van Zanten


Publisher
Springer
Year
2004
Tongue
English
Weight
180 KB
Volume
130
Category
Article
ISSN
1432-2064

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Convergence Properties of Wavelet Series
✍ Elias Masry πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 282 KB

We consider the approximation of a fractional Brownian motion by a wavelet series expansion at resolution 2 -l . The approximation error is measured in the integrated mean squared sense over finite intervals and we obtain its expansion as a sum of terms with increasing rates of convergence. The depe