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Simulation of a Local Time Fractional Stable Motion

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Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 2006)

Abstract

The aim of this paper is to simulate sample paths of a class of symmetric α-stable processes. This will be achieved by using the series expansion of the processes seen as shot noise series. In our case, as the general term of the series expansion has to be approximated, a first result is needed in shot noise theory. Then, this will lead to a convergence rate of the approximation towards the Local Time Fractional Stable Motion.

  • Stable process
  • Self similar process
  • Shot noise series
  • Local time
  • Fractional Brownian motion
  • Simulation

AMS 2000 Subject Classification: Primary 60G18, Secondary 60F25, 60E07, 60G52

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Correspondence to Matthieu Marouby .

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Marouby, M. (2011). Simulation of a Local Time Fractional Stable Motion. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLIII. Lecture Notes in Mathematics(), vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15217-7_9

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