Fractional Brownian Motion with Variable Hurst Parameter.

Ryvkina, Jelena.

Abstract: A new class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) is presented. Any measurable function assuming values in this interval can now be chosen as a parameter. These new processes allow for modeling of phenomena where the regularity properties change with time, such as in the volatility of a stock or in internet traffic. Some prop... read more

Tufts University. Department of Mathematics.
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ID: tufts:21994
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