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Title: ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
Consider a fractional Brownian motion (fBM) [Formula: see text] with Hurst index [Formula: see text]. We construct a probability space supporting both B H and a fully simulatable process [Formula: see text] such that[Formula: see text] with probability one for any user-specified error bound [Formula: see text]. When [Formula: see text], we further enhance our error guarantee to the α-Hölder norm for any [Formula: see text]. This enables us to extend our algorithm to the simulation of fBM-driven stochastic differential equations [Formula: see text]. Under mild regularity conditions on the drift and diffusion coefficients of Y, we construct a probability space supporting both Y and a fully simulatable process [Formula: see text] such that[Formula: see text] with probability one. Our algorithms enjoy the tolerance-enforcement feature, under which the error bounds can be updated sequentially in an efficient way. Thus, the algorithms can be readily combined with other advanced simulation techniques to estimate the expectations of functionals of fBMs efficiently.  more » « less
Award ID(s):
1720433
PAR ID:
10294432
Author(s) / Creator(s):
; ;
Date Published:
Journal Name:
Mathematics of Operations Research
Volume:
46
Issue:
2
ISSN:
0364-765X
Page Range / eLocation ID:
559 to 594
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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