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An optimal series expansion of the multiparameter fractional Brownian motion
Mälardalen University, School of Education, Culture and Communication. (Analytical Finance)ORCID iD: 0000-0002-0139-0747
2008 (English)In: Journal of theoretical probability, ISSN 0894-9840, E-ISSN 1572-9230, Vol. 21, no 2, p. 459-475Article in journal (Refereed) Published
Abstract [en]

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

Place, publisher, year, edition, pages
Springer , 2008. Vol. 21, no 2, p. 459-475
Keywords [en]
Fractional Brownian motion, Series expansion, Rate optimal expansion
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-5291DOI: 10.1007/s10959-007-0122-xISI: 000255033600012Scopus ID: 2-s2.0-42349112432OAI: oai:DiVA.org:mdh-5291DiVA, id: diva2:160342
Available from: 2009-03-02 Created: 2009-02-13 Last updated: 2017-12-14Bibliographically approved

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fulltext(211 kB)89 downloads
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Malyarenko, Anatoliy

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf