Spectral Representation and Simulation of Fractional Brownian Motion
Abstract
The 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 the orthonormal basis. The paper contains all the necessary algorithms and their theoretical foundation, as well as the results of numerical experiments.
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