Fractional Brownian Motion with Variable Hurst Parameter.

Ryvkina, Jelena.
2017-04-24T15:11:13.943Z

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

Subjects
Tufts University. Department of Mathematics.
Permanent URL
http://hdl.handle.net/10427/012256
ID: tufts:21994
To Cite: DCA Citation Guide