On convergence of general wavelet decompositions of nonstationary stochastic processes

Yuriy Kozachenko, Andriy Olenko, Olga Polosmak

Published 2013-07-26Version 1

The paper investigates uniform convergence of wavelet expansions of Gaussian random processes. The convergence is obtained under simple general conditions on processes and wavelets which can be easily verified. Applications of the developed technique are shown for several classes of stochastic processes. In particular, the main theorem is adjusted to the fractional Brownian motion case. New results on the rate of convergence of the wavelet expansions in the space $C([0,T])$ are also presented.