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Simulation of Gaussian stationary Ornstein–Uhlenbeck process with given reliability and accuracy in space C⁢([0,T])C([0,T])

Author

Listed:
  • Kozachenko Yuriy

    (Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Akademika Glushkova Avenue, Building 4-e, 03127Kyiv; and Department of Probability Theory and Mathematical Statistics, Faculty of Mathematics and Information Technology, Vasyl’ Stus Donetsk National University, 600-Richya Str. 21, 21021 Vinnytsia, Ukraine)

  • Petranova Marina

    (Department of Probability Theory and Mathematical Statistics, Faculty of Mathematics and Information Technology, Vasyl’ Stus Donetsk National University, 600-Richya Str. 21, 21021Vinnytsia, Ukraine)

Abstract

In this paper, we construct models that approximate the Gaussian stationary Ornstein–Uhlenbeck process with given reliability 1-δ{1-\delta}, 0 0{\beta>0} in the space C⁢([0,T]){C([0,T])}.

Suggested Citation

  • Kozachenko Yuriy & Petranova Marina, 2017. "Simulation of Gaussian stationary Ornstein–Uhlenbeck process with given reliability and accuracy in space C⁢([0,T])C([0,T])," Monte Carlo Methods and Applications, De Gruyter, vol. 23(4), pages 277-286, December.
    • Handle: RePEc:bpj:mcmeap:v:23:y:2017:i:4:p:277-286:n:2
    DOI: 10.1515/mcma-2017-0115
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