An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion

Anatoliy Malyarenko ()
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Anatoliy Malyarenko: Mälardalen University

Journal of Theoretical Probability, 2008, vol. 21, issue 2, 459-475

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

Keywords: Fractional Brownian motion; Series expansion; Rate optimal expansion (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10959-007-0122-x

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