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Figure

Figure 2.1: Cholesky weights of three N = 500 step paths (∆t = 1 / 60 ) based on the Weyl-fBm covariance (2.7)
Figure 2.2: Comparison of weights for the Direct and Hypergeometric Descrete W-fBm algorithms for H = 0.2 (black), H = 0.3 (blue) and H = 0.4 (red)
Figure 2.3: Weights for three N = 500 step paths (∆t = 1 / 2 ) generated via the Exact Discrete RL-fBm algorithm
Figure 2.8: Example mBm path simulated using Discrete Improved weights. The paths have a temporal length T = 30 s with inter-observational time ∆t = 1 / 60 and N = 1, 800 steps
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