Advances and Applications in Statistics
Volume 33, Issue 2, Pages 99 - 106
(April 2013)
|
|
A THEORETICAL NOTE ON THE SIMULATION OF BROWNIAN MOTION
G. Gaines and F. Ruymgaart
|
Abstract: The question of the number of time points needed at which Brownian motion should be generated, in order to have a faithful approximation of the original process, is considered in this note from the perspective of closeness of eigenvalues and eigenfunctions between approximation and original. Prescribed closeness can be obtained using the theory of perturbation of operators as a tool. |
Keywords and phrases: |
|
Number of Downloads: 372 | Number of Views: 1049 |
|