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2009•Russian Journal of Numerical Analysis and Mathematical ModellingRequires access

Spectral numerical models of fractional Brownian motion

S. M. Prigarin, P. V. Konstantinov

Open publisher page 2 citations

Abstract

In the paper we present several numerical algorithms to simulate the fractional Brownian motion (the generalized Wiener process). The algorithms have been developed on the basis of the integral representation of the fractional Brownian motion and the spectral decomposition for its increments. The convergence of the numerical methods has been studied.

About this research paper

What this paper is about

In the paper we present several numerical algorithms to simulate the fractional Brownian motion (the generalized Wiener process). The algorithms have been developed on the basis of the integral representation of the fractional Brownian motion and the spectral decomposition for its increments. The convergence of the numerical methods has been studied.

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OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In the paper we present several numerical algorithms to simulate the fractional Brownian motion (the generalized Wiener process). The algorithms have been developed on the basis of the integral representation of the fractional Brownian motion and the spectral decomposition for its increments. The convergence of the numerical methods has been studied.

Key concepts: Fractional Brownian motion, Mathematics, Convergence (economics), Brownian motion, Reflected Brownian motion, Representation (politics), Brownian excursion, Fractional calculus

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