Working paper
Fractional Brownian Motion In A Nutshell
Year:
2014Published in:
arxivFractional Brownian motion (fBm)
Hurst parameter
Self-similarity
Stationarity of increments
Simulation algorithm
This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.