Simulation paradoxes related to a fractional Brownian motion with small Hurst index

DOI10.15559/16-VMSTA59zbMath1353.65012arXiv1607.03631MaRDI QIDQ340830

Vitalii Makogin

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03631

zbMATH Keywords

fractional Brownian motionMonte Carlo simulationsdiscrete approximationHurst indexexpected maximum

Mathematics Subject Classification ID

Related Items (2)

High excursions of Gaussian nonstationary processes in discrete time ⋮ Lower bound for the expected supremum of fractional brownian motion using coupling

Uses Software

• SimEstFBM

Cites Work

• Unnamed Item
• Maximum of a fractional Brownian motion: Probabilities of small values
• Lower classes for fractional Brownian motion
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Distribution of the maximum of a fractional Brownian motion
• The Greatest of a Finite Set of Random Variables

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