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- W2613306039 abstract "In this paper, we give a new series expansion to simulate B an fBm based on harmonic analysis of the auto-covariance function. We prove that the convergence holds in $L^2$ and uniformly, with a rate-optimal decay of the norm of the rest of the series in both senses. We also give a general framework of rate-optimal series expansion for a class of Gaussian processes. Finally we apply this expansion to functional quantization." @default.
- W2613306039 created "2017-05-19" @default.
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- W2613306039 date "2015-08-03" @default.
- W2613306039 modified "2023-09-27" @default.
- W2613306039 title "A New Rate-Optimal Series Expansion of Fractional Brownian Motion" @default.
- W2613306039 hasPublicationYear "2015" @default.
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