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.

Details

Examples

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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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Scope  (11)

Generalizations & Extensions  (1)

Properties & Relations  (4)

Neat Examples  (3)

See Also

WienerProcess  FractionalGaussianNoiseProcess  RandomWalkProcess  BrownianBridgeProcess  GeometricBrownianMotionProcess  OrnsteinUhlenbeckProcess  NormalDistribution  BinormalDistribution  MultinormalDistribution

Introduced in 2012
(9.0)