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Exact simulation 1 Fractional Brownian motion 1 Fractional Gaussian process 1 Stationary correlation function 1
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Aitken, G.J.M. 1 McGaughey, Donald R. 1
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Physica A: Statistical Mechanics and its Applications 1
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Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm
McGaughey, Donald R.; Aitken, G.J.M. - In: Physica A: Statistical Mechanics and its Applications 311 (2002) 3, pp. 369-380
-dimensional natural phenomena. The increments process of FBM has a Gaussian distribution and a stationary correlation function. The …
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