An optimal polynomial approximation of Brownian motion
Abstract
In this talk, I will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. Most notably, the coefficients obtained from this expansion are independent Gaussian random variables. This will enable us to generate approximate Brownian paths by matching certain polynomial moments. To conclude the talk, I will discuss related works and applications to numerical methods for SDEs.