On Simulating Fractional Brownian Motion

  • Jerzy Szulga
  • Fred Molz
Conference paper
Part of the Progress in Probability book series (PRPR, volume 47)


We discuss how a computer simulation affects the properties of random trajectories, like stationarity or self-similarity, focusing on the Weierstrass-Mandelbrot approximation of the fractional Brownian motion.


Structure Function Fractional Brownian Motion Original Process Functional Central Limit Theorem Functional Central Limit 
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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • Jerzy Szulga
    • 1
  • Fred Molz
    • 2
  1. 1.Department of MathematicsAuburn UniversityAuburnUSA
  2. 2.ESE DepartmentClemson UniversityClemsonUSA

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