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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
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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}
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