Simulation of a local time fractional stable motion. (English) Zbl 1216.60045
Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 221-239 (2011).
Summary: 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.
For the entire collection see [Zbl 1202.60007].
For the entire collection see [Zbl 1202.60007].
MSC:
| 60G52 | Stable stochastic processes |
| 60G18 | Self-similar stochastic processes |
| 60F25 | \(L^p\)-limit theorems |
Keywords:
stable process; self similar process; shot noise series; local time; fractional Brownian motion; simulationReferences:
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