Fractional Brownian motion generator

Generates fractional Brownian motion with a given Hurst parameter using the FFT.
2,4K Downloads
Aktualisiert 20. Jun 2016

Lizenz anzeigen

fast one dimensional fractional Brownian motion (FBM) generator
output is 'W_t' with t in [0,T] using 'n' equally spaced grid points;
code uses Fast Fourier Transform (FFT) for speed.
INPUT:
- Hurst parameter 'H' in [0,1]
- number of grid points 'n', where 'n' is a power of 2;
if the 'n' supplied is not a power of two,
then we set n=2^ceil(log2(n)); default is n=2^12;
- final time 'T'; default value is T=1;
OUTPUT:
- Fractional Brownian motion 'W_t' for 't';
- time 't' at which FBM is computed;
If no output it invoked, then function plots the FBM.
Example: plot FBM with hurst parameter 0.95 on the interval [0,10]
[W,t]=fbm1d(0.95,2^12,10); plot(t,W)
Reference:
Kroese, D. P., & Botev, Z. I. (2015). Spatial Process Simulation.
In Stochastic Geometry, Spatial Statistics and Random Fields(pp. 369-404)
Springer International Publishing, DOI: 10.1007/978-3-319-10064-7_12

Zitieren als

Zdravko Botev (2024). Fractional Brownian motion generator (https://www.mathworks.com/matlabcentral/fileexchange/38935-fractional-brownian-motion-generator), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2015b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Fractals finden Sie in Help Center und MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Veröffentlicht Versionshinweise
2.1.0.0

- bug fix (courtesy of Viktor Bezborodov): W=sqrt(T)*W ---> W=T^H*W; (unless final time T=1, this would affect the scaling).

2.0.0.0

- Vectorized for speed
- Written as an 'm' file with error control

1.0.0.0