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Fractional Gaussian field and wavelets

Vrijeme: 17.5.2006
Predavaonica: 005
Predavač: Prof. dr. Vladimir Dobric, Lehigh University, USA
Naziv: Fractional Gaussian field and wavelets

The whole family of fractional Brownian motions is constructed as a single
Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations of fractional Brownian motion known as multi-fractional Brownian motions. The new Gaussian field, due to inherited ''duality'', reveals a new way of constructing martingales associated with the odd and even part of a fractional Brownian motion and therefore of the fractional Brownian motion. The existence of those martingales and their stochastic representations is the first step to the study of natural wavelet expansions associated to those processes in the spirit of our earlier work on a construction of natural wavelets associated to Gaussian-Markov processes.

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