Fast synthesis of persistent fractional Brownian motion

DOI10.1145/2133390.2133395zbMATH Open1386.65052OpenAlexW1981073983MaRDI QIDQ4635189FDOQ4635189

Authors: Pedro R. M. Inácio, Mário M. Freire, Manuela Pereira, Paulo P. Monteiro 

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2133390.2133395

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zbMATH Keywords

long-range dependencefractional Brownian motionHurst parameterpersistenceself-similarityfractional Gaussian noisegeneration algorithmcomputer-based simulation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Cited In (3)

• Two approximation methods to synthesize the power spectrum of fractional Gaussian noise
• New representation of generation algorithm for persistent fractional Brownian motion
• Fast simulation of self-similar and correlated processes

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