Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm
type: Item
instance of: scholarly article
title: Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm
zbMATH Open document ID: 0996.60091
DOI: 10.1016/S0378-4371(02)00778-1
author: Donald R. McGaughey
author: G. J. M. Aitken
published in: Physica A
publication date: 2002-07-24T00:00:00Z
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 1770594
zbMATH Keywords: correlation function
zbMATH Keywords: second partial derivative
zbMATH Keywords: Gaussian noise
MaRDI profile type: Publication
cites work: Fractional Brownian Motions, Fractional Noises and Applications
cites work: Fractal geometry: what is it, and what does it do?
cites work: Q4146660
cites work: Q3993189
full work available at URL: s0378-4371(02)00778-1
OpenAlex ID: W2064557780
Recommended article: Q4453313
Recommended article: Generating diffusions with fractional Brownian motion
Recommended article: Q3114334
Recommended article: On two-dimensional fractional Brownian motion and fractional Brownian random field
Recommended article: Simulation of generalized fractional Brownian motion in \(C([0,T])\)
Recommended article: AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
Recommended article: Numerical methods for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion
Recommended article: Simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion
Recommended article: Q4524755
Recommended article: Simulation of two-dimensional fractional Gaussian noise
description: scientific article; zbMATH DE number 1770594