Comparative analysis of simulation methods of the fractional brownian motion
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Date
2016
Authors
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Journal ISSN
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Publisher
Lviv Polytechnic Publishing House
Abstract
This paper analyzes the statistical simulation algorithms of generalized Wiener process and increases of the generalized Wiener process. Models built with specified accuracy and reliability in space ( ) 2 L T . To build statistical models we use various spectral representation of random processes – namely in the series and as integrals. The advantages and disadvantages of each representations was compared.
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Keywords
Gaussian random processes, simulation, model accuracy, reliability models, generalized Wiener process, random process with independent increments, processes with stationary increments, spectral representation
Citation
Pashko A. Comparative analysis of simulation methods of the fractional brownian motion / Anatolii Pashko // Litteris et Artibus : proceedings of the 6th International youth science forum, November 24–26, 2016, Lviv, Ukraine / Lviv Polytechnic National University. – Lviv : Lviv Polytechnic Publishing House, 2016. – P. 77–80. – Bibliography: 7 titles.