On some generalization of fractional Brownian motions

Xiao-Tian Wang, Xiang-Qian Liang, Fu-Yao Ren and Shi-Ying Zhang

Chaos, Solitons & Fractals, 2006, vol. 28, issue 4, 949-957

Abstract: The multifractional Brownian motion (mBm) is a continuous Gaussian process that extends the classical fractional Brownian motion (fBm) defined by Barton and Vincent Poor [Barton RJ, Vincent Poor H. IEEE Trans Inform 1988;34(5):943] and Decreusefond and Üstünel [Decreusefond L, Üstünel AS. Potential Anal 1999;10:177]. In addition, an innovational representation of fBm is given.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:28:y:2006:i:4:p:949-957

DOI: 10.1016/j.chaos.2005.09.004

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