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Licensed Unlicensed Requires Authentication Published by De Gruyter July 13, 2018

Simulation of generalized fractional Brownian motion in C([0,T])

  • Yuriy Kozachenko , Anatolii Pashko and Olga Vasylyk ORCID logo EMAIL logo

Abstract

In this paper, we construct the model of a generalized fractional Brownian motion with parameter α(0,2), which approximates such a process with given reliability 1-δ, 0<δ<1, and accuracy ε>0 in the space C([0,T]). An Example of a simulation in C([0,1]) is given.

Acknowledgements

We are very grateful to the Editors of the journal for valuable recommendations, which helped us to improve this paper.

References

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Received: 2017-12-30
Accepted: 2018-06-24
Published Online: 2018-07-13
Published in Print: 2018-09-01

© 2018 Walter de Gruyter GmbH, Berlin/Boston

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