Spectral Representation and Simulation of Fractional Brownian Motion
This paper gives a new representation for the fractional Brownian motion that can be applied to simulate this self-similar random process in continuous time. Such a representation is based on the spectral form of mathematical description and the spectral method. The Legendre polynomials are used as...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/13/1/19 |
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