Concept

Fractional Brownian motion

Summary
In probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not be independent. fBm is a continuous-time Gaussian process B_H(t) on [0, T], that starts at zero, has expectation zero for all t in [0, T], and has the following covariance function: :E[B_H(t) B_H (s)]=\tfrac{1}{2} (|t|^{2H}+|s|^{2H}-|t-s|^{2H}), where H is a real number in (0, 1), called the Hurst index or Hurst parameter associated with the fractional Brownian motion. The Hurst exponent describes the raggedness of the resultant motion, with a higher value leading to a smoother motion. It was introduced by . The value of H determines what kind of process the fBm is:
  • if H = 1/2 then the process is in fact a Brownian motion or Wiener process;
  • if H > 1/2 then
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