Abstract
A wavelet-based method for simulation of strictly sub-Gaussian processes with given accuracy and reliability in C([0, T]) is proposed.
Managing Editor: Sabelfeld, Karl K.
Editorial Board Member: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis
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Simulation of sub-Gaussian processes using wavelets
1Department of Statistics and Probability Theory, Mechanics and Mathematics Faculty, Dnipropetrovsk National University, Gagarin av. 72, Dnipropetrovsk, Ukraine.
Citation Information: Monte Carlo Methods and Applications. Volume 17, Issue 3, Pages 215–231, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: 10.1515/mcma.2011.010, June 2011
Publication History:
- Received:
- 2011-03-17
- Accepted:
- 2011-06-16
- Published Online:
- 2011-06-26
Keywords.: Sub-Gaussian processes; simulation; wavelets
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