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ArticleA general framework for simulation of fractional fields

Serge Cohen2007

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Articlebronze2007

A general framework for simulation of fractional fields

Serge Cohen · Céline Lacaux · Michel Ledoux

20 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 2003Theory and applications of long-range dependence 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance 2001Approximations of small jumps of Lévy processes with a view towards simulation 2001Series Representations of Lévy Processes from the Perspective of Point Processes 2004SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM 2005How rich is the class of multifractional Brownian motions?2003Generators of long-range dependent processes: A survey

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Year2007

Typearticle

Published2007-10-11

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2007.09.008

openalex_workW2111944867

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