Simulation of generalized fractional Brownian motion in C([0,T])

Kozachenko Yuriy (), Pashko Anatolii () and Vasylyk Olga ()
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Kozachenko Yuriy: Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, 60 Volodymyrska Str., 01601Kyiv; and Department of Probability Theory and Mathematical Statistics, Faculty of Mathematics and Information Technology, Vasyl Stus Donetsk National University, 600-Richya Str. 21, 21021 Vinnytsia, Ukraine
Pashko Anatolii: Faculty of Computer Science and Cybernetics, Taras Shevchenko National University of Kyiv, 60 Volodymyrska Str., 01601Kyiv, Ukraine
Vasylyk Olga: Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, 60 Volodymyrska Str., 01601Kyiv, Ukraine

Monte Carlo Methods and Applications, 2018, vol. 24, issue 3, 179-192

Abstract: In this paper, we construct the model of a generalized fractional Brownian motion with parameter α∈(0,2){\alpha\in(0,2)}, which approximates such a process with given reliability 1-δ{1-\delta}, 0 0{\varepsilon>0} in the space C⁢([0,T]){C([0,T])}. An Example of a simulation in C⁢([0,1]){C([0,1])} is given.

Keywords: Gaussian processes; fractional Brownian motion; simulation (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/mcma-2018-0016

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