We reexamine the wavelet-based simulation procedure for fractional Brownian motion proposed by Abry and Sellan. We clarify in what sense the wavelet-based simulation procedure works, shed light on the structure of associated fractional low- and high-pass filters, and consequently suggest some modifications to the simulation algorithm
http://smf4.emath.fr/Publications/SeminairesCongres/2013/28/html/smf_sem-cong_28_65-87.phpInternatio...
Consider a fractional Brownian motion (fBM) BH={BH(t):t∈[0,1]} with Hurst index H∈(0,1). We construc...
We revise the Levy's construction of Brownian motion as a simple though rigorous approach to operate...
We reexamine the wavelet-based simulation procedure for fractional Brownian motion proposed by Abry ...
AbstractWe reexamine the wavelet-based simulation procedure for fractional Brownian motion proposed ...
We present a non exhaustive bibliographical and comparative study of the problem of simulation and i...
AbstractThe aim of this communication is to propose some complementary remarks and interpretation on...
AbstractThe aim of this communication is to propose some complementary remarks and interpretation on...
The thesis is centered around the themes of wavelet methods for stochastic processes, and of operato...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
Abstract: Wavelet based estimators of the H parameter for fractional Brownian motion (fBm) is known ...
This paper focuses on simulating fractional Brownian motion (fBm). Despite the availability of sever...
Fractional Brownian Motion (FBM) is an important tool in modeling used in several areas (biology, ec...
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to o...
International audienceThis work provides asymptotic properties of the autocorrelation functions of t...
http://smf4.emath.fr/Publications/SeminairesCongres/2013/28/html/smf_sem-cong_28_65-87.phpInternatio...
Consider a fractional Brownian motion (fBM) BH={BH(t):t∈[0,1]} with Hurst index H∈(0,1). We construc...
We revise the Levy's construction of Brownian motion as a simple though rigorous approach to operate...
We reexamine the wavelet-based simulation procedure for fractional Brownian motion proposed by Abry ...
AbstractWe reexamine the wavelet-based simulation procedure for fractional Brownian motion proposed ...
We present a non exhaustive bibliographical and comparative study of the problem of simulation and i...
AbstractThe aim of this communication is to propose some complementary remarks and interpretation on...
AbstractThe aim of this communication is to propose some complementary remarks and interpretation on...
The thesis is centered around the themes of wavelet methods for stochastic processes, and of operato...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
Abstract: Wavelet based estimators of the H parameter for fractional Brownian motion (fBm) is known ...
This paper focuses on simulating fractional Brownian motion (fBm). Despite the availability of sever...
Fractional Brownian Motion (FBM) is an important tool in modeling used in several areas (biology, ec...
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to o...
International audienceThis work provides asymptotic properties of the autocorrelation functions of t...
http://smf4.emath.fr/Publications/SeminairesCongres/2013/28/html/smf_sem-cong_28_65-87.phpInternatio...
Consider a fractional Brownian motion (fBM) BH={BH(t):t∈[0,1]} with Hurst index H∈(0,1). We construc...
We revise the Levy's construction of Brownian motion as a simple though rigorous approach to operate...