论文信息 - Simulation of Multifractional Brownian Motion

Simulation of Multifractional Brownian Motion

Multifractional Brownian motion (MFBm) is a generalization of Fractional Brownian motion (FBm) in which the Hurst parameter varies with time in a prescribed manner. In this paper we investigate an approximate method for simulating realizations of MFBm on a finite grid.

Andrew T. A. Wood | Grace Chan | A. Wood | Grace Chan

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