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Математическое моделирование, 2018, том 30, номер 6, статья опубликована в англоязычной версии журнала
(Mi mm4087)
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Эта публикация цитируется в 3 научных статьях (всего в 3 статьях)
Статьи, опубликованные в английской версии журнала
On the generalized fractional Brownian motion
Mounir Zili University of Monastir, Faculty of Sciences of Monastir, Department of Mathematics, Monastir, Tunisia
Аннотация:
The generalized fractional Brownion motion (gfBm) is a new extension of both fractional and sub-fractional Brownian motions, introduced very recently. We show that this process could serve to obtain new models, better than those constructed from fractional and sub-fractional Brownian motions, permitting to take the level of correlation between the increments of the studied phenomenon into account. We also expand explicitly this process, we study the rate of convergence of the obtained expansion and, we apply our result to get a computer generation of some gfBm sample paths. In particular we present some sample paths of the even and odd parts of the fractional Brownian motion.
Ключевые слова:
fractional and sub-fractional brownian motions, explicit series expansion, rate of convergence, computer generation of sample paths.
Поступила в редакцию: 13.06.2017
Образец цитирования:
Mounir Zili, “On the generalized fractional Brownian motion”, Math. Models Comput. Simul., 10:6 (2018), 759–769
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/mm4087
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Страница аннотации: | 178 |
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