An accurate fractional Brownian motion generator

Sandro Rambaldi and Ombretta Pinazza

Physica A: Statistical Mechanics and its Applications, 1994, vol. 208, issue 1, 21-30

Abstract: A new algorithm for the simulation of fractional Brownian motion is suggested. This algorithm has been tested and compared with previous ones. Clear improvements in the statistical and scaling properties of the process, built with our algorithm, are shown. Large improvements have been achieved for short times and for Hurst's exponents less then 0.5, i.e. for path with high fractal dimension. A new strategy to generate fractional Brownian motions, based on the use of moments of increasing size blocks, is then described. This numerical method proved to be fast and accurate.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:208:y:1994:i:1:p:21-30

DOI: 10.1016/0378-4371(94)90531-2

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