General methodology 2: an efficient method for simulating fractional stable motion

Authors:
Wei Biao Wu;George Michailidis;Danlu Zhang
Affiliations:
University of Chicago, Chicago, IL;University of Michigan, Ann Arbor, MI;University of Michigan, Ann Arbor, MI
Venue:
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Year:
2002

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Abstract

An efficient methodology for simulating paths of fractional stable motion is presented. The proposed approach is based on invariance principles for linear processes. A detailed analysis of the error terms involved is given and the performance of the method is assessed through an extensive simulation study.