Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1])

• Date: 2006
• ISSN: 0321-3900
• Main Authors: Kozachenko, Y., Vasylyk, O.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2006
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4457
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: 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.

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.