A series expansion of fractional Brownian motion

DOI10.1007/S00440-003-0310-2zbMath1059.60048OpenAlexW2114023404MaRDI QIDQ706329

Harry van Zanten, Kacha Dzhaparidze

Publication date: 8 February 2005

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/4237

zbMATH Keywords

series expansionHankel transformfractional calculusBessel function

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items (69)

Pricing geometric Asian power options in the sub-fractional Brownian motion environment ⋮ The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Unnamed Item ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ The Lower Classes of the Sub-Fractional Brownian Motion ⋮ A Baxter type estimator of an unknown parameter of the covariance function in the non-Gaussian case ⋮ Functional limit theorems for multiparameter fractional Brownian motion ⋮ Approximation to two independent Gaussian processes from a unique Lévy process and applications ⋮ Chung's law of the iterated logarithm for subfractional Brownian motion ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ On fractional Brownian motion and wavelets ⋮ The stochastic wave equation with fractional noise: a random field approach ⋮ Oscillatory fractional Brownian motion ⋮ A constructive sharp approach to functional quantization of stochastic processes ⋮ Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion ⋮ Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion ⋮ Occupation densities for certain processes related to subfractional Brownian motion ⋮ From intersection local time to the Rosenblatt process ⋮ On the self-intersection local time of subfractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Stochastic integration with respect to the sub-fractional Brownian motion with ⋮ On spectral Petrov-Galerkin method for solving optimal control problem governed by fractional diffusion equations with fractional noise ⋮ Series Expansions of Fractional Brownian Motions and Strong Local Nondeterminism of Bifractional Brownian Motions on Balls and Spheres ⋮ Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes ⋮ Particle picture interpretation of some Gaussian processes related to fractional Brownian motion ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises ⋮ On the convergence to the multiple subfractional Wiener-Itō integral ⋮ Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion ⋮ An optimal series expansion of the multiparameter fractional Brownian motion ⋮ Rates of contraction of posterior distributions based on Gaussian process priors ⋮ Approximation of fractional Brownian motion by martingales ⋮ Fast spectral Petrov-Galerkin method for fractional elliptic equations ⋮ Representations of isotropic Gaussian random fields with homogeneous increments ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ High-resolution product quantization for Gaussian processes under sup-norm distortion ⋮ Simulation of generalized fractional Brownian motion in \(C([0,T)\)] ⋮ Impulsive fractional stochastic differential inclusions driven by sub-Fractional Brownian motion with infinite delay and sectorial operators ⋮ Stochastic Integral for Non-Adapted Processes Related to Sub-Fractional Brownian Motion when $H>1/2$ ⋮ A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm ⋮ Stochastic partial functional integrodifferential equations driven by a sub-fractional Brownian motion, existence and asymptotic behavior ⋮ Optimality of an explicit series expansion of the fractional Brownian sheet ⋮ Some properties of the sub-fractional Brownian motion ⋮ Sub-fractional Brownian motion and its relation to occupation times ⋮ An approximation to the subfractional Brownian sheet using martingale differences ⋮ Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion ⋮ Some long-range dependence processes arising from fluctuations of particle systems ⋮ Karhunen-Loève expansion of spherical fractional Brownian motions ⋮ Approximations of the cumulative distribution function for infinite weighted sum of random variables ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion ⋮ Stochastic delay evolution equations driven by sub-fractional Brownian motion ⋮ On the Wiener integral with respect to a sub-fractional Brownian motion on an interval ⋮ Representation Formulae for the Fractional Brownian Motion ⋮ Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension ⋮ Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus ⋮ \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \) ⋮ Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ The sub-fractional CEV model ⋮ RIEMANN–LIOUVILLE PROCESSES ARISING FROM BRANCHING PARTICLE SYSTEMS ⋮ Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion ⋮ ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations ⋮ Representations of fractional Brownian motion using vibrating strings ⋮ Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise ⋮ Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence ⋮ Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach ⋮ Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation ⋮ Noise-to-signal ratio of single-trajectory spectral densities in centered Gaussian processes ⋮ Impulsive stochastic differential equations involving Hilfer fractional derivatives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Rate optimality of wavelet series approximations of fractional Brownian motion
• Weak convergence and empirical processes. With applications to statistics
• Optimality of an explicit series expansion of the fractional Brownian sheet
• Fractional Brownian Motions, Fractional Noises and Applications
• Parseval's Theorem for Hankel Transforms

This page was built for publication: A series expansion of fractional Brownian motion