New methods for simulation of fractional Brownian motion

DOI10.1006/jcph.1996.0158zbMath0859.65145OpenAlexW2049963749MaRDI QIDQ1924856

Yanyan Li

Publication date: 15 April 1997

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/718b76a47431cfa7edc6b8cff9cd9396b039fb7e

zbMATH Keywords

algorithmsfractional Brownian motionfast Fourier transformsspectral methodstationary processturning bands method

Mathematics Subject Classification ID

Brownian motion (60J65) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Hurst exponent estimation of fractional surfaces for mammogram images analysis ⋮ A spectral approach to simulating intrinsic random fields with power and spline generalized covariances ⋮ Unnamed Item ⋮ Simulation of intrinsic random fields of order \(k\) with Gaussian generalized increments by Gibbs sampling ⋮ Modeling and Computation of Bose-Einstein Condensates: Stationary States, Nucleation, Dynamics, Stochasticity ⋮ A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations

This page was built for publication: New methods for simulation of fractional Brownian motion