FractionalBrownianMotionProcess[, , h]
represents fractional Brownian motion process with drift , volatility , and Hurst index h.
represents fractional Brownian motion process with drift 0, volatility 1, and Hurst index h.
- FractionalBrownianMotionProcess is also known as fractal Brownian motion or fractional Wiener process.
- FractionalBrownianMotionProcess is a continuous-time and continuous-state random process.
- FractionalBrownianMotionProcess allows to be any real number, to be any positive real number, and h to be a real number between 0 and 1.
- FractionalBrownianMotionProcess can be used with such functions as Mean, PDF, Probability, and RandomFunction.