Simulation paradoxes related to a fractional Brownian motion with small Hurst index
We consider the simulation of sample paths of a fractional Brownian motion with small values of the Hurst index and estimate the behavior of the expected maximum. We prove that, for each fixed N, the error of approximation $\mathbf{E}\max _{t\in [0,1]}{B}^{H}(t)-\mathbf{E}\max _{i=\overline{1,N}}{B}...
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| Format: | Article |
| Language: | English |
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VTeX
2016-07-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA59 |