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A generalization of multifractional Brownian motion

Gupta, Neha, Kumar, Arun and Leonenko, Nikolai ORCID: 2022. A generalization of multifractional Brownian motion. Fractal and Fractional 6 (2) , 74. 10.3390/fractalfract6020074

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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

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