A generalization of multifractional Brownian motion

Gupta, Neha, Kumar, Arun and Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 2022. A generalization of multifractional Brownian motion. Fractal and Fractional 6 (2) , 74. 10.3390/fractalfract6020074

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Abstract

In this article, some properties of multifractional Brownian motion (MFBM) are discussed. It is shown that it has persistence of signs long range dependence (LRD) and persistence of magnitudes LRD properties. A generalization called here nth order multifractional Brownian motion (n-MFBM) that allows to take the functional parameter H(t) values in the range (n−1,n) is discussed. Two representations of the n-MFBM are given and their relationship with each other is obtained.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Publisher:	MDPI
ISSN:	2504-3110
Date of First Compliant Deposit:	1 February 2022
Date of Acceptance:	27 January 2022
Last Modified:	05 May 2023 01:16
URI:	https://orca.cardiff.ac.uk/id/eprint/147104

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