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

DOI10.1515/mcma-2018-0016zbMath1398.60057OpenAlexW2883206889MaRDI QIDQ1990058

O. Vasylyk, Anatolii Pashko, Yuriy Vasil'ovich Kozachenko

Publication date: 24 October 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-0016

zbMATH Keywords

simulationfractional Brownian motionGaussian processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05)

Related Items (2)

A generative model for fBm with deep ReLU neural networks ⋮ APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL

Uses Software

• SimEstFBM

Cites Work

• A series expansion of fractional Brownian motion
• Comparative analysis of multiscale Gaussian random field simulation algorithms
• Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach
• ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
• Uniform Convergence of Wavelet Expansions of Gaussian Random Processes
• Spectral numerical models of fractional Brownian motion
• Approximation of $\operatorname {SSub}_{\varphi }(\Omega )$ stochastic processes in the space $L_{p}(\mathbb {T})$
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