Simulation of a fractional Brownian motion in the space 𝐿_{𝑝}([0,𝑇])

Kozachenko, Yu.; Pashko, A.; Vasylyk, O.

doi:10.1090/tpms/1051

Simulation of a fractional Brownian motion in the space $L_p([0,T])$

Authors: Yu. V. Kozachenko, A. O. Pashko and O. I. Vasylyk
Translated by: N. N. Semenov
Journal: Theor. Probability and Math. Statist. 97 (2018), 99-111
MSC (2010): Primary 60G15, 60G22, 60G51, 68U20
DOI: https://doi.org/10.1090/tpms/1051
Published electronically: February 21, 2019
MathSciNet review: 3746002
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Abstract: A model that approximates the fractional Brownian motion with parameter $\alpha \in (0,2)$ with a given reliability $1- \delta$, $0<\delta <1$, and accuracy $\varepsilon > 0$ in the space $L_p([0,T])$ is constructed. An example of a simulation in the space $L_2([0,1])$ is given.

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