$\epsilon$-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

Yi Chen, Jing Dong, Hao Ni

Consider the fractional Brownian Motion (fBM) $B^H=\{B^H(t):t\in [0,1]\}$ with Hurst index $H\in (0,1)$. We construct a probability space supporting both $B^H$ and a fully simul…