Sampling fractional Brownian motion in presence of absorption: a Markov chain method
Alexander K. Hartmann 1, Satya N. Majumdar 2, Alberto Rosso 2 Physical Review E 88 (2013) 022119 We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a large number of 10^7 time steps […]
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