An optimal polynomial approximation of Brownian motion
In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are independent Gaussian random variables. Therefore, it is practica...
| Main Authors: | , , |
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| Format: | Journal article |
| Sprog: | English |
| Udgivet: |
Society for Industrial and Applied Mathematics
2020
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