On spectral simulation of fractional Brownian motion

Cited In (29)

Simulation of generalized fractional Brownian motion in $C([0,T])$
ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
Sensitivities \textit{via} rough paths
Mapping time series into signed networks via horizontal visibility graph
Regular and anomalous diffusion. I: Foundations
Beta Brownian motion
Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus
Extreme-strike asymptotics for general Gaussian stochastic volatility models
A strong uniform approximation of fractional Brownian motion by means of transport processes
A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
Simulation of a fractional Brownian motion in the space $L_p([0,T])$
Hausdorff dimension of the record set of a fractional Brownian motion
Approximation of random variables by functionals of the increments of a fractional Brownian motion
Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
A harmonically weighted filter for cyclical long memory processes
Bayesian inference for fractional oscillating Brownian motion
Estimation and pricing under long-memory stochastic volatility
Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
Simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion
Modeling and Computation of Bose-Einstein Condensates: Stationary States, Nucleation, Dynamics, Stochasticity
Approximation of the first passage time distribution for the birth–death processes
Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes
Spectral design of anomalous diffusion
Fractional Brownian heavy traffic approximations of multiclass feedforward queueing networks
Power Brownian motion: an Ornstein-Uhlenbeck lookout
Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
Title not available (Why is that?)
Out of sample forecasts of quadratic variation
Estimation of the Hurst parameter in some fractional processes

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