Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm

Physica A: Statistical Mechanics and its Applications

Volumn 311, Issue 3-4, 2002, Pages 369-380

  McGaughey, Donald R ^a   Aitken, G J M ^b  

^a ROYAL MILITARY COLLEGE OF CANADA   (Canada)

^b QUEEN S UNIVERSITY   (Canada)

Author keywords

Exact simulation; Fractional Brownian motion; Fractional Gaussian process; Stationary correlation function

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; CORRELATION METHODS; FRACTALS; GAUSSIAN NOISE (ELECTRONIC); INTEGRATION;

FRACTIONAL GAUSSIAN PROCESS (FGP);

BROWNIAN MOVEMENT;

EID: 0037102629     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00778-1     Document Type: Article

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