Fourier series approximation of linear fractional stable motion

Hermine Biermé (1) , Hans-Peter Scheffler (2)

1 MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5
2 Fachbereich Mathematik, Universität Siegen

An approximation of the linear fractional stable motion by a Fourier sum is presented. In the continuous sample path case precise error bounds are derived. This approximation method is used to develop a simulation method of the sample path of linear fractional stable motions.

Mots clés: fractional stable motion; self-similar process

Domaines: Probabilités [math.PR]

Hermine Biermé, Hans-Peter Scheffler. Fourier series approximation of linear fractional stable motion. Journal of Fourier Analysis and Applications, 2008, 14, pp.180--202. ⟨hal-00178337⟩