Simulation of fractional Brownian motion basing on its spectral representation

A. O. Pashko, O. I. Vasylyk
Theory of Stochastic Processes
Vol.23 (39), no.1, 2018, pp.73-81
We construct the model of a fractional Brownian motion (fBm) with parameter α ∈ (0,2), which approximates such process with given reliability 1 - δ, 0<δ<1, and accuracy ε > 0 in the space C([0,T]) basing on a spectral representation of the fBm.