A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

DOI10.1239/jap/1395771410zbMath1294.60065arXiv1111.6331OpenAlexW2011481269MaRDI QIDQ5416536

Shushuang Man, Desmond S. Lun, Dawei Hong, Jean-Camille Birget

Publication date: 14 May 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6331

zbMATH Keywords

fractional Brownian motionalmost-sure uniform approximationwavelet expansion of stochastic integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Numerical methods for wavelets (65T60) Parallel numerical computation (65Y05)

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