Author | : Guy Métivier |
Publisher | : American Mathematical Soc. |
Total Pages | : 122 |
Release | : 2005 |
Genre | : Mathematics |
ISBN | : 0821836498 |
Studies two types of integral transformation associated with fractional Brownian motion, that are applied to construct approximation schemes for fractional Brownian motion by polygonal approximation of standard Brownian motion. This approximation is the best in the sense that it minimizes the mean square error.