SIMULATION OF FRACTIONAL BROWNIAN MOTION WITH GIVEN RELIABILITY AND ACCURACY IN C([0, 1])
YURIY KOZACHENKO AND OLGA VASYLYKTheory 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.
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