{"title":"反射分数布朗运动的离散误差","authors":"Patricia C. McGlaughlin, Alexandra Chronopoulou","doi":"10.1109/WSC.2016.7822095","DOIUrl":null,"url":null,"abstract":"The long-range dependence and self-similarity of fractional Brownian motion make it an attractive model for traffic in many data transfer networks. Reflected fractional Brownian Motion appears in the storage process of such a network. In this paper, we focus on the simulation of reflected fractional Brownian motion using a straightforward discretization scheme and we show that its strong error is of order hH, where h is the discretization step and H ∈ (0,1) is the Hurst index.","PeriodicalId":367269,"journal":{"name":"2016 Winter Simulation Conference (WSC)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Discretization error of reflected fractional Brownian motion\",\"authors\":\"Patricia C. McGlaughlin, Alexandra Chronopoulou\",\"doi\":\"10.1109/WSC.2016.7822095\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The long-range dependence and self-similarity of fractional Brownian motion make it an attractive model for traffic in many data transfer networks. Reflected fractional Brownian Motion appears in the storage process of such a network. In this paper, we focus on the simulation of reflected fractional Brownian motion using a straightforward discretization scheme and we show that its strong error is of order hH, where h is the discretization step and H ∈ (0,1) is the Hurst index.\",\"PeriodicalId\":367269,\"journal\":{\"name\":\"2016 Winter Simulation Conference (WSC)\",\"volume\":\"23 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-12-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2016 Winter Simulation Conference (WSC)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/WSC.2016.7822095\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2016 Winter Simulation Conference (WSC)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/WSC.2016.7822095","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Discretization error of reflected fractional Brownian motion
The long-range dependence and self-similarity of fractional Brownian motion make it an attractive model for traffic in many data transfer networks. Reflected fractional Brownian Motion appears in the storage process of such a network. In this paper, we focus on the simulation of reflected fractional Brownian motion using a straightforward discretization scheme and we show that its strong error is of order hH, where h is the discretization step and H ∈ (0,1) is the Hurst index.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
