FractionalBrownianMotionProcess

FractionalBrownianMotionProcess[μ, σ, h] represents fractional Brownian motion process with drift μ, volatility σ, and Hurst index h.

• FractionalBrownianMotionProcess[h] represents fractional Brownian motion process with drift 0, volatility 1, and Hurst index h.

Examples

Create a fractional Brownian motion with Hurst index 0.7:

proc = FractionalBrownianMotionProcess[0.7];
RandomFunction[proc, {0, 1, 0.01}]

Simulate multiple paths:

RandomFunction[FractionalBrownianMotionProcess[0, 1, 0.3], {0, 1, 0.01}, 5]

Please visit the official Wolfram Language Reference for more details.