Sampling fractional Brownian motion in presence of absorption: A Markov chain method
نویسندگان
چکیده
منابع مشابه
Sampling fractional Brownian motion in presence of absorption: a Markov chain method.
We numerically study fractional Brownian motion (fBm) with an absorbing boundary at the origin for selected values of the Hurst exponent Hε[0,1]. Using a Monte Carlo sampling technique, we are able to numerically generate these fBm processes at discrete times for up to 10(7) time steps, even for values as small as H=1/4. The results are compatible with previous analytical results that suggest t...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2013
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.88.022119