Abstract
We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.
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This work is supported in part by the Foundation for Knowledge and Competence Development and Sparbanksstiftelsen Nya.
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Malyarenko, A. An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion. J Theor Probab 21, 459–475 (2008). https://doi.org/10.1007/s10959-007-0122-x
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DOI: https://doi.org/10.1007/s10959-007-0122-x