Simulation of a fractional Brownian motion in the space L_p([0,T])

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

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Cites work

-sub-Gaussian random processes
Accuracy and reliability of models of stochastic processes of the space $\text{Sub}_{\varphi}(\Omega)$
Approximation of $\operatorname {SSub}_{\varphi }(\Omega )$ stochastic processes in the space $L_{p}(\mathbb {T})$
Comparative analysis of multiscale Gaussian random field simulation algorithms
Fractional Brownian motion in a nutshell
Fractional Brownian Motions, Fractional Noises and Applications
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Modelling of stochastic processes and fields
On an expansion of random processes in series
On spectral simulation of fractional Brownian motion
On the simulation of random fields. I
On the simulation of random fields. II
Representation formulae for the fractional Brownian motion
Simulation of stochastic processes with given accuracy and reliability
Simulation of weakly self-similar stationary increment $\mathbf{Sub}_\varphi(\Omega)$-processes: A series expansion approach
Spectral numerical models of fractional Brownian motion
Spectral representation of fractional Brownian motion in n dimensions and its properties
Statistical simulation of the generalized Wiener process
Stochastic Calculus for Fractional Brownian Motion and Applications
Stochastic calculus for fractional Brownian motion and related processes.
Uniform Convergence of Wavelet Expansions of Gaussian Random Processes

Cited in

(10)

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Uses Software

SimEstFBM

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