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

DOI10.1090/tpms/1051zbMath1409.60054MaRDI QIDQ3120621

O. Vasylyk, A. O. Pashko, Yuriy Vasil'ovich Kozachenko

Publication date: 5 March 2019

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1051

zbMATH Keywords

simulation; fractional Brownian motion; Gaussian processes; sub-Gaussian processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

Uses Software

• SimEstFBM

Cites Work

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• On an expansion of random processes in series
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications
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