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.
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The second author was partially supported by NSF grant DMS-0417869.
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Biermé, H., Scheffler, HP. Fourier Series Approximation of Linear Fractional Stable Motion. J Fourier Anal Appl 14, 180–202 (2008). https://doi.org/10.1007/s00041-008-9011-7
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DOI: https://doi.org/10.1007/s00041-008-9011-7