Problem with Fractional Brownian Motion
- To: mathgroup at smc.vnet.net
- Subject: [mg63645] Problem with Fractional Brownian Motion
- From: "Paolo Tarpanelli" <tarpanelli at libero.it>
- Date: Mon, 9 Jan 2006 04:48:22 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
To simulate a Fractional Brwonian Motion I have implemented this algorithm
H := 0.9;
n := 5;
m = 100;
dFBM = Table[n^(-H)/Gamma[H + 1/2]*((Sum[Xa?1 + n*(m + t)-i?*i^(H-1/2),{i,1,n*t}]))+((Sum[Ya?1+n*(m-1+t)-i*((n+1)^(H-1/2)- i^(H-1/2),{i,1,n(m-1)}])), {t, 1, 100}];
where Xa and Ya are two random vector that I have created previously.
The problem is that the process is negative(!) while it must to be positive!
Paolo
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From my blackberry
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