Simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion

DOI10.17721/1812-5409.2021/1.1zbMath1488.60074OpenAlexW4237991050MaRDI QIDQ5018558

O. Vasylyk, I. I. Lovyts'Ka

Publication date: 21 December 2021

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2021/1.1

zbMATH Keywords

fractional Brownian motionsimulation of stochastic processes\(\varphi\)-sub-Gaussian process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) General theory of stochastic processes (60G07) Sample path properties (60G17) PDEs with randomness, stochastic partial differential equations (35R60)

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