Discretization error of reflected fractional Brownian motion

Alexandra Chronopoulou, Peter McGlaughlin

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The long-range dependence and self-similarity of fractional Brownian motion make it an attractive model for traffic in many data transfer networks. Reflected fractional Brownian Motion appears in the storage process of such a network. In this paper, we focus on the simulation of reflected fractional Brownian motion using a straightforward discretization scheme and we show that its strong error is of order hH, where h is the discretization step and H ϵ (0;1) is the Hurst index.

Original languageEnglish (US)
Title of host publication2016 Winter Simulation Conference
Subtitle of host publicationSimulating Complex Service Systems, WSC 2016
EditorsTheresa M. Roeder, Peter I. Frazier, Robert Szechtman, Enlu Zhou
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages270-276
Number of pages7
ISBN (Electronic)9781509044863
DOIs
StatePublished - Jul 2 2016
Event2016 Winter Simulation Conference, WSC 2016 - Arlington, United States
Duration: Dec 11 2016Dec 14 2016

Publication series

NameProceedings - Winter Simulation Conference
Volume0
ISSN (Print)0891-7736

Other

Other2016 Winter Simulation Conference, WSC 2016
CountryUnited States
CityArlington
Period12/11/1612/14/16

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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  • Cite this

    Chronopoulou, A., & McGlaughlin, P. (2016). Discretization error of reflected fractional Brownian motion. In T. M. Roeder, P. I. Frazier, R. Szechtman, & E. Zhou (Eds.), 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016 (pp. 270-276). [7822095] (Proceedings - Winter Simulation Conference; Vol. 0). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2016.7822095