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Fractional Brownian motion generator

  • fbm1d.mgenerates one dimensional fractional Brownian motion 'W' on t in [0,1] using 'n' grid points
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Fractional Brownian motion generator


Zdravko Botev (view profile)


Generates fractional Brownian motion with a given Hurst parameter using the FFT.

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For a detailed mathematical explanation of the Matlab code and lots of examples see the companion paper:
 Kroese, D.P. and Botev, Z.I. (2013).
 "Spatial Process Generation."
 V. Schmidt (Ed.). Lectures on Stochastic Geometry, Spatial Statistics and Random Fields, Volume II: Analysis, Modeling and Simulation of Complex Structures, Springer-Verlag, Berlin.

Required Products MATLAB
MATLAB release MATLAB 7.11 (R2010b)
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