Journal article

Path Properties Of Multifractal Brownian Motion

Year:

2010

Published in:

Theory of Probability and Mathematical Statistics

Authors:

,

Gaussian process

fractional Brownian motion

multifractal Brownian motion

Hürst index

A new generalization of fractional Brownian motion (called multifractal Brownian motion) is considered for the case where the Hürst index H is a function of time t. The pathwise continuity of multifractal Brownian motion is proved. Global and local Hölder properties are also studied.

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