Fractional Brownian Motion with Variable Hurst Parameter.

Ryvkina, Jelena.

2017-04-24T15:11:13.943Z

Description
  • 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
This object is in collection Corporate name Permanent URL
ID:
4m90f638q
To Cite:
DCA Citation Guide    EndNote