Abstract:
An efficient methodology for simulating paths of fractional stable motion is presented. The proposed approach is based on invariance principles for linear processes. A de...Show MoreMetadata
Abstract:
An efficient methodology for simulating paths of fractional stable motion is presented. The proposed approach is based on invariance principles for linear processes. A detailed analysis of the error terms involved is given and the performance of the method is assessed through an extensive simulation study.
Published in: Proceedings of the Winter Simulation Conference
Date of Conference: 08-11 December 2002
Date Added to IEEE Xplore: 22 January 2003
Print ISBN:0-7803-7614-5
Contents 