Simulation of a fractional Brownian motion in the space \(L_p([0,T])\). (English. Ukrainian original) Zbl 1409.60054
Theory Probab. Math. Stat. 97, 99-111 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 97-108 (2017).
Summary: A model that approximates the fractional Brownian motion with parameter \( \alpha \in (0,2)\) with a given reliability \( 1- \delta \), \( 0<\delta <1\), and accuracy \( \epsilon > 0\) in the space \( L_p([0,T])\) is constructed. An example of a simulation in the space \( L_2([0,1])\) is given.
MSC:
| 60G15 | Gaussian processes |
| 60G22 | Fractional processes, including fractional Brownian motion |
| 60G51 | Processes with independent increments; Lévy processes |
| 68U20 | Simulation (MSC2010) |
Software:
SimEstFBMReferences:
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