A general framework for simulation of fractional fields

DOI10.1016/J.SPA.2007.09.008MaRDI QIDQ947149zbMATH OpenOpenAlexFDO

Authors Serge Cohen, Céline Lacaux, Michel Ledoux

Publication date 29 September 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2007.09.008

zbMATH Keywords

infinitely divisible distributionsfractional fieldssimulation of random fields

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cites work

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• Approximations of small jumps of Lévy processes with a view towards simulation
• Characterization of the law of the iterated logarithm in Banach spaces
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• How rich is the class of multifractional Brownian motions?
• Identification and properties of real harmonizable fractional Lévy motions
• On path properties of certain infinitely divisible processes
• On roughness indices for fractional fields
• On series representations of infinitely divisible random vectors
• Path properties of the linear multifractional stable motion
• Real harmonizable multifractional Lévy motions
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Series representation and simulation of multifractional Lévy motions
• Simulating Sample Paths of Linear Fractional Stable Motion
• Small and large scale behavior of the Poissonized telecom process
• Spectral representations of infinitely divisible processes
• Stochastic properties of the linear multifractional stable motion

Cited in

(11)

• Simulation of infinitely divisible random fields
• Hybrid simulation scheme for volatility modulated moving average fields
• Fractional Lévy processes with an application to long memory moving average processes
• A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
• Fractional Lévy fields
• Simulations for Karlin random fields
• Localizable moving average symmetric stable and multistable processes
• Fourier series approximation of linear fractional stable motion
• On limit theory for functionals of stationary increments Lévy driven moving averages
• Modulus of continuity of some conditionally sub-Gaussian fields, application to stable random fields
• Simulation of a local time fractional stable motion

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