Analysis of accuracy of simulation of the fractional Brownian motion

zbMATH Open1399.60070MaRDI QIDQ4565627FDOQ4565627

Authors: A. O. Pashko 

Publication date: 12 June 2018

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• Analysis of accuracy for simulation of the fractional Brownian motion in uniform metrics
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zbMATH Keywords

simulationBrownian motionGaussian random processreliability modelmodel accuracy

Mathematics Subject Classification ID

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

Cited In (7)

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

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