Simulation of a Local Time Fractional Stable Motion

被引：0

作者：

Marouby, Matthieu ^{[1
]}

机构：

[1] Univ Toulouse 3, Inst Math Toulouse, F-31062 Toulouse, France

来源：

SEMINAIRE DE PROBABILITES XLIII | 2011年 / 2006卷

关键词：

Stable process; Self similar process; Shot noise series; Local time; Fractional Brownian motion; Simulation; MULTIFRACTIONAL LEVY MOTIONS; FIELDS; REWARDS;

D O I：

10.1007/978-3-642-15217-7_9

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The aim of this paper is to simulate sample paths of a class of symmetric alpha-stable processes. This will be achieved by using the series expansion of the processes seen as shot noise series. In our case, as the general term of the series expansion has to be approximated, a first result is needed in shot noise theory. Then, this will lead to a convergence rate of the approximation towards the Local Time Fractional Stable Motion.

引用

页码：221 / 239

页数：19

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