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An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion

An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Theoretical Probability Springer Journals

An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion

Journal of Theoretical Probability , Volume 21 (2) – Oct 18, 2007

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References (32)

Publisher
Springer Journals
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Mathematics; Statistics, general; Probability Theory and Stochastic Processes
ISSN
0894-9840
eISSN
1572-9230
DOI
10.1007/s10959-007-0122-x
Publisher site
See Article on Publisher Site

Abstract

We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.

Journal

Journal of Theoretical ProbabilitySpringer Journals

Published: Oct 18, 2007

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