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

DOI10.15559/16-VMSTA59zbMATH Open1353.65012arXiv1607.03631MaRDI QIDQ340830FDOQ340830

Authors: Vitalii Makogin 

Publication date: 15 November 2016

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

Abstract: We consider the simulation of sample paths of a fractional Brownian motion with small values of the Hurst index and estimate the behavior of the expected maximum. We prove that, for each fixed $N$, the error of approximation $mathbfEma{x}_{tin[0,1]}{B}^H(t)-mathbfEma{x}_{i=overline1,N}{B}^H(i/N)$ grows rapidly to $infty$ as the Hurst index tends to 0.

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

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zbMATH Keywords

fractional Brownian motiondiscrete approximationMonte Carlo simulationsexpected maximumHurst index

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Title not available (Why is that?)
• The Greatest of a Finite Set of Random Variables
• 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

Cited In (3)

• On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
• Lower bound for the expected supremum of fractional brownian motion using coupling
• High excursions of Gaussian nonstationary processes in discrete time

Uses Software

• SimEstFBM

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