Spectral numerical models of fractional Brownian motion

DOI10.1515/RJNAMM.2009.017zbMath1166.65305OpenAlexW2014995575MaRDI QIDQ3632746

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Publication date: 12 June 2009

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rjnamm.2009.017

zbMATH Keywords

convergenceWiener processnumerical examplesfractional Brownian motionspectral decompositionnumerical algorithms

Mathematics Subject Classification ID

Brownian motion (60J65)

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