On spectral simulation of fractional Brownian motion
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Cited in
(35)- Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
- Estimation of the Hurst parameter in some fractional processes
- Simulation of generalized fractional Brownian motion in \(C([0,T])\)
- Sensitivities \textit{via} rough paths
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Spectral numerical models of fractional Brownian motion
- Two approximation methods to synthesize the power spectrum of fractional Gaussian noise
- Mapping time series into signed networks via horizontal visibility graph
- Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus
- Regular and anomalous diffusion. I: Foundations
- Beta Brownian motion
- Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
- Extreme-strike asymptotics for general Gaussian stochastic volatility models
- A strong uniform approximation of fractional Brownian motion by means of transport processes
- Two-dimensional Parisian ruin problem and evaluation of Pickands type constants
- A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
- 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
- Approximation of the first passage time distribution for the birth-death processes
- Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
- Modeling and computation of Bose-Einstein condensates: stationary states, nucleation, dynamics, stochasticity
- A harmonically weighted filter for cyclical long memory processes
- Bayesian inference for fractional oscillating Brownian motion
- A model relating mean squared displacement and angular dynamics in particle motions
- 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
- 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
- On approximate representation of fractional Brownian motion
- Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
- Power Brownian motion: an Ornstein-Uhlenbeck lookout
- scientific article; zbMATH DE number 991571 (Why is no real title available?)
- Out of sample forecasts of quadratic variation
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