Simulation of generalized fractional Brownian motion in C([0,T]).

Autor:	Kozachenko, Yuriy, Pashko, Anatolii, Vasylyk, Olga
Předmět:	BROWNIAN motion GAUSSIAN processes STATISTICAL correlation CONTINUOUS functions COMPUTER simulation
Zdroj:	Monte Carlo Methods & Applications; 2018, Vol. 24 Issue 3, p179-192, 14p, 3 Graphs
Abstrakt:	In this paper, we construct the model of a generalized fractional Brownian motion with parameter α ∈ (0 , 2) {\alpha\in(0,2)} , which approximates such a process with given reliability 1 - δ {1-\delta} , 0 < δ < 1 {0<\delta<1} , and accuracy ε > 0 {\varepsilon>0} in the space C ⁢ ([ 0 , T ]) {C([0,T])}. An Example of a simulation in C ⁢ ([ 0 , 1 ]) {C([0,1])} is given. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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