Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
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Publication:413918
DOI10.1155/2011/247329zbMath1259.60092arXiv1009.0533WikidataQ58688897 ScholiaQ58688897MaRDI QIDQ413918
Thibaud Taillefumier, Jonathan Touboul
Publication date: 8 May 2012
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.0533
Wiener process; Gauss-Markov processes; Lévy-Ciesielski construction; optimal approximation of a process
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
60H05: Stochastic integrals
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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