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On Simulating Fractional Brownian Motion

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

Abstract

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.

Keywords

Structure Function Fractional Brownian Motion Original Process Functional Central Limit Theorem Functional Central Limit 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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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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