Free-Knot Spline Approximation of Fractional Brownian Motion

Jakob Creutzig () and Mikhail Lifshits ()
Additional contact information
Jakob Creutzig: TU Darmstadt, Dept. of Mathematics
Mikhail Lifshits: St.Petersburg State University, Dept. of Mathematics and Mechanics

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2006, 2008, pp 195-204 from Springer

Abstract: Summary For a fractional Brownian motion B H on [0,1], we consider approximations of B H by piecewise polynomial splines. Asymptotics of minimal average error rates are established and found to be of order k -H , where k is the number of free knots used in the spline approximation.

Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-74496-2_10

Ordering information: This item can be ordered from
http://www.springer.com/9783540744962

DOI: 10.1007/978-3-540-74496-2_10

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().