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The Nyström method for functional quantization with an application to the fractional Brownian motion
integral equation Nyströ m method Gaussian semi-martingale functional quantization
2010/12/1
In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion ...
Dimensional Properties of Fractional Brownian Motion
fractional Brownian motion Hausdorff dimension uniform dimension results strong local nondeterminism
2007/12/11
Let $B^\a = \{B^{\alpha}(t), t \in {\mathbb R}^N\}$ be an $(N,d)$-fractional Brownian motion with Hurst index ${\alpha} \in (0,1)$. By applying the strong local nondeterminism of $B^{\alpha}$, we prov...