On Approximate Representation of Fractional Brownian Motion

Konstantin A. Rybakov ()
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Konstantin A. Rybakov: Moscow Aviation Institute (National Research University)

Methodology and Computing in Applied Probability, 2025, vol. 27, issue 4, 1-19

Abstract: Abstract This paper considers the orthogonal expansion of the fractional Brownian motion relative to the Legendre polynomials. Such an expansion has not only theoretical but also practical interest, since it can be applied to approximate and simulate the fractional Brownian motion in continuous time. The relations for the mean square approximation error are presented, and a comparison with the previously obtained result is carried out.

Keywords: Fractional Brownian motion; Approximation; Simulation; Orthogonal expansion; Spectral representation; Legendre polynomials; 60G22; 60H35 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11009-025-10219-w

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