کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156104 | 958802 | 2009 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A strong uniform approximation of fractional Brownian motion by means of transport processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A strong uniform approximation of fractional Brownian motion by means of transport processes A strong uniform approximation of fractional Brownian motion by means of transport processes](/preview/png/1156104.png)
چکیده انگلیسی
We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter HH, and we derive a rate of convergence, which becomes better when HH approaches 1/21/2. The construction is based on the Mandelbrot–van Ness stochastic integral representation of fractional Brownian motion and on a strong transport process approximation of Brownian motion. The objective of this method is to facilitate simulation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3435–3452
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3435–3452
نویسندگان
J. Garzón, L.G. Gorostiza, J.A. León,