Simulation Of Generalized Fractional Brownian Motion In C([0, T])

Yuriy Kozachenko,Anatolii Pashko,Olga Vasylyk

MONTE CARLO METHODS AND APPLICATIONS（2018）

Cited 3|Views16

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Abstract

In this paper, we construct the model of a generalized fractional Brownian motion with parameter alpha epsilon (0, 2), which approximates such a process with given reliability 1 - delta, 0 < delta < 1, and accuracy epsilon > 0 in the space C([0, T]). An Example of a simulation in C([0, 1]) is given.

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Key words

Gaussian processes, fractional Brownian motion, simulation

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