A Family of Series Representations of the Multiparameter Fractional Brownian Motion

DOI10.1007/978-3-0348-0021-1_14MaRDI QIDQ2904879zbMATH OpenOpenAlexFDO

Authors Anatoliy Malyarenko

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0804.4076, http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-13346

zbMATH Keywords

series representationMeijer \(G\)-functionmultiparameter fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

Abstract: We derive a family of series representations of the multiparameter fractional Brownian motion in the centred ball of radius $R$ in the $N$-dimensional space $mathbb{R}^N$. Some known examples of series representations are shown to be the members of the family under consideration.

Recommendations

• An optimal series expansion of the multiparameter fractional Brownian motion
• The Multiparameter Fractional Brownian Motion
• Optimal series representation of fractional Brownian sheets
• A series expansion of fractional Brownian motion
• From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
• An optimal series expansion of sub-mixed fractional Brownian motion
• scientific article; zbMATH DE number 95894
• Representation formulae for the fractional Brownian motion

Cites work

• scientific article; zbMATH DE number 3858094 (Why is no real title available?)
• scientific article; zbMATH DE number 48233 (Why is no real title available?)
• scientific article; zbMATH DE number 52107 (Why is no real title available?)
• scientific article; zbMATH DE number 819734 (Why is no real title available?)
• scientific article; zbMATH DE number 3046994 (Why is no real title available?)
• An optimal series expansion of the multiparameter fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic integration with respect to Volterra processes

Cited in

(1)

• scientific article; zbMATH DE number 2169747 (Why is no real title available?)

This page was built for publication: A Family of Series Representations of the Multiparameter Fractional Brownian Motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2904879)