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.

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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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