https://oldena.lpnu.ua/handle/ntb/40256| Title: | Comparative analysis of simulation methods of the fractional brownian motion |
| Authors: | Pashko, Anatolii |
| Affiliation: | Taras Shevchenko National University of Kyiv |
| Bibliographic description (Ukraine): | Pashko A. Comparative analysis of simulation methods of the fractional brownian motion / Anatolii Pashko // Litteris et Artibus : proceedings of the 6th International youth science forum, November 24–26, 2016, Lviv, Ukraine / Lviv Polytechnic National University. – Lviv : Lviv Polytechnic Publishing House, 2016. – P. 77–80. – Bibliography: 7 titles. |
| Conference/Event: | Litteris et Artibus |
| Issue Date: | 2016 |
| Publisher: | Lviv Polytechnic Publishing House |
| Country (code): | UA |
| Place of the edition/event: | Lviv |
| Keywords: | Gaussian random processes simulation model accuracy reliability models generalized Wiener process random process with independent increments processes with stationary increments spectral representation |
| Number of pages: | 77-80 |
| Abstract: | This paper analyzes the statistical simulation algorithms of generalized Wiener process and increases of the generalized Wiener process. Models built with specified accuracy and reliability in space ( ) 2 L T . To build statistical models we use various spectral representation of random processes – namely in the series and as integrals. The advantages and disadvantages of each representations was compared. |
| URI: | https://ena.lpnu.ua/handle/ntb/40256 |
| References (International): | [1] K. O. Dzhaparidze, J.H. Zanten, A seriesexpansionoffractionalBrownianmotion. CWI. Probability, NetworksandAlgorithms, R0216. [2] А. О. Пашко, Оцінка точності моделювання узагальненого вінерівського процесу. Науковий вісник Ужгородського університету. Серія: мате- матика і інформатика. 2014. Вип. 25, № 1. - С. 106-113. [3] V. V. Buldygin, Yu. V. Kozachenko, Metric characterization of random variables and random processes. Amer. Math. Soc., Providence, RI, pp 260. [4] А. О. Пашко, Точність моделювання субгауссо- вих вінерівських процесів в рівномірній метриці. Журнал обчислювальної та прикладної математики. 2015. № 3(120). - С.160–169. [5] S. M. Prigarin, Numerical Modelling of Random Processes and Fields. Novosibirsk, pp 259. [6] Yu. V. Kozachenko, A.A. Pashko, Accuracy of Simulation of the Gaussian random processes with continuous spectrum. Computer Modelling and New Technologies. 2014.Vol.18, №3. — P. 7–12. [7] Yu. V. Kozachenko, A. A. Pashko, Simulation of random processes. Kyiv: T. Shevchenko University, pp 224. |
| Content type: | Conference Abstract |
| Appears in Collections: | Litteris et Artibus. – 2016 р. |
| File | Description | Size | Format | |
|---|---|---|---|---|
| LEA-2016-77-80.pdf | 863.59 kB | Adobe PDF | View/Open |
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