Faculty of Computer Science and Cybernetics, Taras Shevchenko NationalUniversity of Kyiv, Ukraine, Kyiv, Glushkova street 4D.

Abstract

This paper analyzes the statistical simulation algorithms of generalized Wiener process and increases of the generalized Wiener process. Models built with specified accuracy and reliability in space L2(T). To build statistical models we use various spectral representation of random processes – namely in the series and as integrals.

The advantages and disadvantages of each representations was compared.

Keywords

Gaussian random processes

simulation

model accuracy

reliability models

generalized Wiener process

random process with independent increments

processes with stationary increments

spectral representation

References

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Comparative Analysis of Simulation Methods of the fractional Brownian motion