CONVERGENCE PROPERTIES OF WAVELET SERIES EXPANSIONS OF FRACTIONAL BROWNIAN-MOTION

We consider the approximation of a fractional Brownian motion by a wav elet series expansion at resolution 2(-l). The approximation error is measured in the integrated mean squared sense over finite intervals an d we obtain its expansion as a sum of terms with increasing rates of c onvergence. The dependence of the coefficients in the expansion of the error on the scale function is explicitly determined. (C) 1996 Academ ic Press, Inc.