A series expansion of fractional Brownian motion

From MaRDI portal
Publication:706329

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




Related Items (69)

Pricing geometric Asian power options in the sub-fractional Brownian motion environmentThe closed-form option pricing formulas under the sub-fractional Poisson volatility modelsUnnamed ItemLeast squares estimation for the drift parameters in the sub-fractional Vasicek processesThe Lower Classes of the Sub-Fractional Brownian MotionA Baxter type estimator of an unknown parameter of the covariance function in the non-Gaussian caseFunctional limit theorems for multiparameter fractional Brownian motionApproximation to two independent Gaussian processes from a unique Lévy process and applicationsChung's law of the iterated logarithm for subfractional Brownian motionPickands-Piterbarg constants for self-similar Gaussian processesOn fractional Brownian motion and waveletsThe stochastic wave equation with fractional noise: a random field approachOscillatory fractional Brownian motionA constructive sharp approach to functional quantization of stochastic processesParametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motionBerry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motionOccupation densities for certain processes related to subfractional Brownian motionFrom intersection local time to the Rosenblatt processOn the self-intersection local time of subfractional Brownian motionFractional processes and their statistical inference: an overviewStochastic integration with respect to the sub-fractional Brownian motion withOn spectral Petrov-Galerkin method for solving optimal control problem governed by fractional diffusion equations with fractional noiseSeries Expansions of Fractional Brownian Motions and Strong Local Nondeterminism of Bifractional Brownian Motions on Balls and SpheresHarmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processesParticle picture interpretation of some Gaussian processes related to fractional Brownian motionStochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noisesOn the convergence to the multiple subfractional Wiener-Itō integralRemarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motionAn optimal series expansion of the multiparameter fractional Brownian motionRates of contraction of posterior distributions based on Gaussian process priorsApproximation of fractional Brownian motion by martingalesFast spectral Petrov-Galerkin method for fractional elliptic equationsRepresentations of isotropic Gaussian random fields with homogeneous incrementsParacontrolled distribution approach to stochastic Volterra equationsHigh-resolution product quantization for Gaussian processes under sup-norm distortionSimulation 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 operatorsStochastic 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 AlgorithmStochastic partial functional integrodifferential equations driven by a sub-fractional Brownian motion, existence and asymptotic behaviorOptimality of an explicit series expansion of the fractional Brownian sheetSome properties of the sub-fractional Brownian motionSub-fractional Brownian motion and its relation to occupation timesAn approximation to the subfractional Brownian sheet using martingale differencesKrein's spectral theory and the Paley-Wiener expansion for fractional Brownian motionSome long-range dependence processes arising from fluctuations of particle systemsKarhunen-Loève expansion of spherical fractional Brownian motionsApproximations of the cumulative distribution function for infinite weighted sum of random variablesInstrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motionStochastic delay evolution equations driven by sub-fractional Brownian motionOn the Wiener integral with respect to a sub-fractional Brownian motion on an intervalRepresentation Formulae for the Fractional Brownian MotionStochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extensionVariations 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 motionMaximum likelihood estimation for sub-fractional Vasicek modelThe sub-fractional CEV modelRIEMANN–LIOUVILLE PROCESSES ARISING FROM BRANCHING PARTICLE SYSTEMSNonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motionɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential EquationsRepresentations of fractional Brownian motion using vibrating stringsNumerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian NoiseLimit theorems for occupation time fluctuations of branching systems. I: long-range dependenceSimulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approachOptimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noiseApproximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observationNoise-to-signal ratio of single-trajectory spectral densities in centered Gaussian processesImpulsive stochastic differential equations involving Hilfer fractional derivatives



Cites Work


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