On the speed of convergence of Piterbarg constants

DOI10.1007/s11134-023-09882-yarXiv2209.13972OpenAlexW4383105398MaRDI QIDQ6067389

Grigori Jasnovidov, Krzysztof Bisewski

Publication date: 14 December 2023

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.13972

zbMATH Keywords

fractional Brownian motionMonte Carlo simulationdiscretization errorPiterbarg constants

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05)

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