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http://dspace.iitrpr.ac.in:8080/xmlui/handle/123456789/3512| Title: | A Generalization of Multifractional Brownian Motion |
| Authors: | Gupta, N. Kumar, A. Leonenko, N. |
| Keywords: | Harmonizable representation Hurst parameter Hölder continuity Long range dependence Multifractional Brownian motion |
| Issue Date: | 22-Jun-2022 |
| Abstract: | In this article, some properties of multifractional Brownian motion (MFBM) are discussed. It is shown that it has persistence of signs long range dependence (LRD) and persistence of magnitudes LRD properties. A generalization called here nth order multifractional Brownian motion (n-MFBM) that allows to take the functional parameter H(t) values in the range (n − 1, n) is discussed. Two representations of the n-MFBM are given and their relationship with each other is obtained. |
| URI: | http://localhost:8080/xmlui/handle/123456789/3512 |
| Appears in Collections: | Year-2022 |
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| File | Description | Size | Format | |
|---|---|---|---|---|
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