Simulation of a local time fractional stable motion

DOI10.1007/978-3-642-15217-7_9MaRDI QIDQ3086801zbMATH OpenOpenAlexFDO

Authors Matthieu Marouby

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3210

zbMATH Keywords

fractional Brownian motionlocal timeself similar processshot noise seriessimulationstable process

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Abstract: In this paper, we simulate sample paths of a class of symmetric $alpha$-stable processes using their series expression. We will develop a result in the approximation of shot-noise series. And finally, we will get a convergence rate for the approximation.

Recommendations

• Fourier series approximation of linear fractional stable motion
• Tempered fractional stable motion
• A general framework for simulation of fractional fields
• scientific article; zbMATH DE number 431863
• scientific article; zbMATH DE number 932659

Cites work

• A general framework for simulation of fractional fields
• Computer investigation of the Rate of Convergence of Lepage Type Series to α-Stable Random Variables
• Computer methods for sampling from the exponential and normal distributions
• Extensions of Forsythe's Method for Random Sampling from the Normal Distribution
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
• scientific article; zbMATH DE number 5363773 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 3594385 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Identification and properties of real harmonizable fractional Lévy motions
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• Occupation densities
• On path properties of certain infinitely divisible processes
• On series representations of infinitely divisible random vectors
• Operator scaling stable random fields
• Random rewards, fractional Brownian local times and stable self-similar processes
• Real harmonizable multifractional Lévy motions
• Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
• Series representation and simulation of multifractional Lévy motions
• Strong local nondeterminism and sample path properties of Gaussian random fields
• Tests for Hurst effect

Cited in

(5)

• Fourier series approximation of linear fractional stable motion
• Simulating Sample Paths of Linear Fractional Stable Motion
• A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
• Higher order fractional stable motion: hyperdiffusion with heavy tails
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM

This page was built for publication: Simulation of a local time fractional stable motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3086801)