Mathematica > Data Manipulation > Statistical Data Analysis > Probability & Statistics > Random Processes > Parametric Random Processes > FractionalBrownianMotionProcess
Mathematica > Mathematics and Algorithms > Statistical Data Analysis > Probability & Statistics > Random Processes > Parametric Random Processes > FractionalBrownianMotionProcess
Mathematica > Data Manipulation > Statistical Data Analysis > Probability & Statistics > Random Variables > Derived Statistical Distributions > Random Processes > Parametric Random Processes > FractionalBrownianMotionProcess
BUILT-IN MATHEMATICA SYMBOL

FractionalBrownianMotionProcess

FractionalBrownianMotionProcess[, , h]
represents fractional Brownian motion process with drift , volatility , 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:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Mean and variance functions:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Covariance function:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Scope (8)Scope (8)

Properties & Relations (1)Properties & Relations (1)

Top
New in 9
Send Feedback
Mathematica 9 is now available!

400+ new features, including the new Wolfram Predictive Interface, social network analysis, enterprise CDF deployment, and more »

Try Now
Buy/Upgrade
New to Mathematica? Find your learning path »
Have a question? Ask support »