Some properties of fractional Brownian motion

  • Katsiaryna A. Haitsiukevich Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk
  • Mikalai N. Troush Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk

Abstract

This article is dedicated to the study of the characteristics of random processes, with properties of self-similarity and fractality. The study is based on the consideration of numerical characteristics of processes such as mean, variance, covariance, skewness and kurtosis, and the moments and cumulants of higher order, which can then be used to assess the quality and selection of the best simulation algorithm and reseach real-world data. The study was conducted for the random process of fractional Brownian motion, which is widely used. The article also noted that this process has the property of stationary increments, but in general, it increments dependent, which significantly complicates the algorithms used in the modeling process of fractional Brownian motion.

Author Biographies

Katsiaryna A. Haitsiukevich, Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk

student at the faculty of applied mathematics and computer science

Mikalai N. Troush, Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk

doctor of science (physics and mathematics), full professor; head of the department of theory of probability
and mathematical statistic, faculty of applied mathematics and computer sciences

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Published
2017-12-02
Keywords: fractional Brownian motion, characteristics of random processes, dependence and independence of process increments
How to Cite
Haitsiukevich, K. A., & Troush, M. N. (2017). Some properties of fractional Brownian motion. Journal of the Belarusian State University. Mathematics and Informatics, 1, 23-27. Retrieved from https://journals.bsu.by/index.php/mathematics/article/view/733
Issue
No 1 (2017): Journal of the Belarusian State University. Mathematics and Informatics
Section
Probability Theory and Mathematical Statistics

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