Name
Title | ||
|---|---|---|
A Wavelet-Based Almost-Sure Uniform Approximation Of Fractional Brownian Motion With A Parallel Algorithm |
Abstract | ||
|---|---|---|
We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (B-t((H)))(t is an element of[0,1]) of Hurst index H is an element of (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H is an element of (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently. |
Year | Venue | Keywords |
|---|---|---|
2014 | JOURNAL OF APPLIED PROBABILITY | Fractional Brownian motion, wavelet expansion of stochastic integral, almost-sure uniform approximation |
Field | DocType | Volume |
Vanishing moments,Parallel algorithm,Mathematical analysis,Haar,Minimax approximation algorithm,Hurst index,Rate of convergence,Fractional Brownian motion,Mathematics,Wavelet | Journal | 51 |
Issue | ISSN | Citations |
1 | 0021-9002 | 1 |
PageRank | References | Authors |
0.44 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Dawei Hong | 1 | 85 | 12.80 |
| Shushuang Man | 2 | 61 | 10.13 |
| Jean-Camille Birget | 3 | 815 | 59.09 |
| Desmond S. Lun | 4 | 618 | 50.35 |