On simulating fractional Brownian motion

MaRDI QIDQ4524755zbMATH OpenFDO

Authors Jerzy Szulga, Fred Molz

Publication date 15 January 2001

zbMATH Keywords

fractional Brownian motionrandom trajectoriesWeierstrass-Mandelbrot approximation

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited in

(5)

• Simulation of Brownian motion by truncated multiplicative functions
• Simulation of two-dimensional fractional Gaussian noise
• Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm
• Simulation paradoxes related to a fractional Brownian motion with small Hurst index
• Simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion

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