Geodesic
Simulation of fractional Brownian motion basing on its spectral representation
Teoriâ slučajnyh processov, Tome 23 (2018) no. 1, pp. 73-81

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We construct the model of a fractional Brownian motion (fBm) with parameter $\alpha\in(0,2)$, which approximates such process with given reliability $ 1- \delta$, $0\delta1$, and accuracy $\varepsilon > 0$ in the space $C([0,T])$ basing on a spectral representation of the fBm.
Keywords: Gaussian processes, fractional Brownian motion, spectral representation.
Mots-clés : simulation 
@article{THSP_2018_23_1_a5,
     author = {A. O. Pashko and O. I. Vasylyk},
     title = {Simulation of fractional {Brownian} motion basing on its spectral representation},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {73--81},
     publisher = {mathdoc},
     volume = {23},
     number = {1},
     year = {2018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2018_23_1_a5/}
}
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A. O. Pashko; O. I. Vasylyk. Simulation of fractional Brownian motion basing on its spectral representation. Teoriâ slučajnyh processov, Tome 23 (2018) no. 1, pp. 73-81. http://geodesic.mathdoc.fr/item/THSP_2018_23_1_a5/