Theory of Stochastic Processes
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Theory Stoch. Process.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Theory of Stochastic Processes, 2018, Volume 23(39), Issue 1, Pages 73–81 (Mi thsp264)  
Simulation of fractional Brownian motion basing on its spectral representation

A. O. Pashkoa, O. I. Vasylykb

a Faculty of Computer Science and Cybernetics, Taras Shevchenko National University of Kyiv, Volodymyrska 64, 01601, Kyiv, Ukraine
b Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska 64, 01601, Kyiv, Ukraine
Full-text PDF (467 kB)
References:
PDF
HTML
Abstract: We construct the model of a fractional Brownian motion (fBm) with parameter $\alpha\in(0,2)$, which approximates such process with given reliability $ 1- \delta$, $0<\delta<1$, and accuracy $\varepsilon > 0$ in the space $C([0,T])$ basing on a spectral representation of the fBm.
Keywords: Gaussian processes, fractional Brownian motion, simulation, spectral representation.
Bibliographic databases:
Document Type: Article
MSC: Primary 60G15, 60G22, 68U20; Secondary 60G51, 62M15
Language: English
Citation: A. O. Pashko, O. I. Vasylyk, “Simulation of fractional Brownian motion basing on its spectral representation”, Theory Stoch. Process., 23(39):1 (2018), 73–81
Citation in format AMSBIB
\Bibitem{PasVas18}
\by A.~O.~Pashko, O.~I.~Vasylyk
\paper Simulation of fractional Brownian motion basing on its spectral representation
\jour Theory Stoch. Process.
\yr 2018
\vol 23(39)
\issue 1
\pages 73--81
\mathnet{http://mi.mathnet.ru/thsp264}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3948507}
\zmath{https://zbmath.org/?q=an:07068457}
Linking options:
  • https://www.mathnet.ru/eng/thsp264
  • https://www.mathnet.ru/eng/thsp/v23/i1/p73
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Theory of Stochastic Processes
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024