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

Yuriy Kozachenko, Marina Petranova. Simulation of Gaussian stationary Ornstein-Uhlenbeck process with given reliability and accuracy in space C ⁢ ( [ 0 , T ] ) C([0, T]). Monte Carlo Meth. and Appl., 23(4):277-286, 2017. [doi]

Abstract

Abstract is missing.