FractionalBrownianMotionProcess

FractionalBrownianMotionProcess[μ,σ,h]
represents fractional Brownian motion process with drift μ, volatility σ, and Hurst index h.

FractionalBrownianMotionProcess[h]
represents fractional Brownian motion process with drift 0, volatility 1, and Hurst index h.

DetailsDetails

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Simulate a fractional Brownian motion process:

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Mean and variance functions:

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Covariance function:

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Introduced in 2012
(9.0)