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New representation and generation algorithm for persistent fractional Brownian motion

par Steinbrecher, György;Weyssow, Boris
Référence Romanian Journal of Physics, 55, 9-10, page (1121-1131)
Publication Publié, 2010

Article révisé par les pairs

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Résumé :

For the numerical simulation of the effects of the long-range correlations in the edge plasma turbulence, an algorithm for generating super diffusive fractional Brownian motion is presented. The algorithm uses a new class of representation obtained from a self-similar ensemble of Ornstein-Uhlenbeck processes and allows a straightforward implementation on parallel computers. We give convergence proof, explicit error control and an optimized correction of the errors resulting by the truncation of the components with short correlation times.