Analysis of accuracy of simulation of the fractional Brownian motion

MaRDI QIDQ4565627zbMATH OpenFDO

Authors A. O. Pashko

Publication date 12 June 2018

zbMATH Keywords

simulationBrownian motionGaussian random processreliability modelmodel accuracy

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

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Cited in

(7)

• Simulation paradoxes related to a fractional Brownian motion with small Hurst index
• Statistical simulation of the generalized Wiener process
• Simulation of the fractional Brownian process with given accuracy and reliability
• Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
• Simulation of fractional Brownian motion basing on its spectral representation
• Analysis of accuracy for simulation of the fractional Brownian motion in uniform metrics
• On spectral simulation of fractional Brownian motion

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