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Generating and scaling fractional Brownian motion on finite domains

✍ Scribed by Cintoli, Stefano

Book ID
119666060
Publisher
American Geophysical Union
Year
2005
Tongue
English
Weight
162 KB
Volume
32
Category
Article
ISSN
1944-8007

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Let X be a fractional Brownian motion. It is known that M t = m t dX; t ΒΏ 0, where m t is a certain kernel, deΓΏnes a martingale M , and also that X can be represented by X t = x t dM; t ΒΏ 0, for some kernel x t . We derive these results by using the spectral representation of the covariance function