Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper we develop the spectral theory of the fractional Brownian motion (fBm) using the ideas of Krein's work on continuous analogous of orthogonal polynomials on the unit circle. We exhibit the functions which are orthogonal with respect to the spectral measure of the fBm and obtain an explicit reproducing kernel in the frequency domain. We use these results to derive an extension of the classical Paley-Wiener expansion of the ordinary Brownian motion to the fractional case.

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Let \(\{X\},t\geq0\), be a fractional Brownian motion (fBm) with Hurst index \(H\in(0,1)\) and, for \(T>0\), let \(L_T\) be the closed Hilbert space spanned by the functions \(e_t(\lambda)=(e^{it\lambda}-1)/i\lambda\), \(t\in[0,T]\). The authors develop rich spectral theory for fBm. They represent the fBm as integral with respect to a fundamental martingale and obtain an isometry between \(L_T\) and the function space corresponding to the fundamental martingale. The isometry is a Fourier-type transformation whose kernel is given explcitly. The latter is used to turn \(L_T\) into a reproducing kernel Hilbert space. The authors then introduce functions whose role here is analogous to that of orthogonal polynomials in time series. This is used to obtain a closed form expression for the reproducing kernel and an orthonormal basis in \(L_T\). The spectral theory developed by the authors allows them to generalise the classical Paley-Wiener expansion to the fractional case. They show that the complex fBm admits the series expansion \(\sum_{n} ((e^{2i\omega_nt}-1)/2i\omega_n)Z_n\), \(t\in[0,1],\) where the sum is over all integers, \(\omega_n\) are the real-valued zeroes of the Bessel function \(J_{1-H}\) and \(Z_n\) are independent complex Gaussian random variables. The classical result is indeed a particular case of this since for \(H=1/2\) the variables \(Z_n\) are standard Gaussian and \(\omega_n=n\pi\). The authors consider also the rate of convergence of the Paley-Wiener expansion of fBm and obtain an optimality property for it.

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