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

Introduced in 2012
(9.0)