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Fourier Series Approximation of Linear Fractional Stable Motion |
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| Authors: | Hermine Biermé Hans-Peter Scheffler |
| Affiliation: | 1. MAP5, Université Paris Descartes, 45 rue des Saints Pères, 75006, Paris, France 2. FB 6 Mathematik, Universit?t Siegen, 57068, Siegen, Germany |
| Abstract: | 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. The second author was partially supported by NSF grant DMS-0417869. |
| Keywords: | Fractional stable motion Self-similar process |
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