Fractional Brownian motion




In probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not be independent. fBm is a continuous-time Gaussian process BH(t) on [0, T], which starts at zero, has expectation zero for all t in [0, T], and has the following covariance function: