Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1])
We present here an application of the results on simulation of weakly self-similar stationary increment φ-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion.
Збережено в:
| Дата: | 2006 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4457 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1]) / Y. Kozachenko, O. Vasylyk // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 55–62. — Бібліогр.: 4 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | We present here an application of the results on simulation of weakly self-similar stationary increment φ-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion. |
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