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Fractional Brownian Motion

Name: Fractional Brownian Motion
Creator: Ivan Nourdin

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2012Publisher:Springer Milan

Authors: Ivan Nourdin;

doi: 10.1007/978-88-470-2823-4_2

Fractional Brownian Motion

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Abstract

Fractional Brownian motion is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium-or long-memory property which is in sharp contrast with martingales and Markov processes. The aim of this chapter is to introduce this process and to provide some of its main and basic properties.

Related Organizations

University of Lorraine
France
University of Lorraine
France

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