SIMULATION OF FRACTIONAL BROWNIAN MOTION WITH GIVEN RELIABILITY AND ACCURACY IN C([0, 1])

YURIY KOZACHENKO AND OLGA VASYLYK

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 55–62

We present here an application of the results on simulation of weakly self-similar stationary increment $\varphi$-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion.

Full version