ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

Yi Chen, Jing Dong, Hao Ni

Abstract: Consider a fractional Brownian motion (fBM) B H = { B H ( t ) : t ∈ [ 0 , 1 ] } with Hurst index H ∈ ( 0 , 1 ) . We construct a probability space supporting both B H and a fully simulatable process...