Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function

نویسندگان

چکیده

We study approximations for the L\'evy area of Brownian motion which are based on Fourier series expansion and a polynomial associated bridge. Comparing asymptotic convergence rates approximations, we see that approximation resulting from bridge is more accurate than Kloeden-Platen-Wright approximation, whilst still only using independent normal random vectors. then link these to limiting fluctuations corresponding expansions Moreover, interest in its own right, analysis use identify fluctuation processes Karhunen-Lo\`eve extended give stand-alone derivation values Riemann zeta function at even positive integers.

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ژورنال

عنوان ژورنال: Combinatorics, Probability & Computing

سال: 2022

ISSN: ['0963-5483', '1469-2163']

DOI: https://doi.org/10.1017/s096354832200030x