• DocumentCode
    3663773
  • Title

    On the simulation of sub-fractional Brownian motion

  • Author

    Aneta Morozewicz;Darya Filatova

  • Author_Institution
    Computer Science Department, Institute of Psychology and Pedagogy, Jan Kochanowski University, ul. Krakowska 11, 25-029 Kielce, Polska
  • fYear
    2015
  • Firstpage
    400
  • Lastpage
    405
  • Abstract
    We present a method for numerical approximation of sample paths of the sub-fractional Brownian motion. Taking into account the main properties of the stochastic process, the main idea of this methods consists in the replacement of the process integral representation by a Riemann sum. We also give an estimate of an upper bound on the approximation error involved in the algorithm.
  • Keywords
    "Approximation methods","Upper bound","Brownian motion","Numerical models","Gaussian processes","Random variables"
  • Publisher
    ieee
  • Conference_Titel
    Methods and Models in Automation and Robotics (MMAR), 2015 20th International Conference on
  • Type

    conf

  • DOI
    10.1109/MMAR.2015.7283909
  • Filename
    7283909
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3663773