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
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"
Conference_Titel :
Methods and Models in Automation and Robotics (MMAR), 2015 20th International Conference on
DOI :
10.1109/MMAR.2015.7283909
