version 1.0.0 (1.8 KB) by Alessandro
One-dimensional fractional Brownian motion (fBm) generator using time-domain computation and Cholesky decomposition of increment covariance


Updated 22 Jun 2022

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% One-dimensional fractional Brownian motion (fBm) generator
% given the Hurst parameter 'H' in [0,1], the output is 'W_vec' computed over a vector t_vec of 'n' equally spaced time points
% by Alessandro Borri, Andrea De Gaetano, Simona Panunzi
% CNR-IASI BioMatLab (BML), National Research Council of Italy
% INPUT: Hurst parameter 'H' in [0,1], number of grid points 'n', final time 'T'.
% OUTPUT: Fractional Brownian motion 'W_vec' at times 't_vec'
% If no output is invoked, the function plots the fBm.
% Example: plot fBm with Hurst parameter 0.9 on the interval [0,5]
% [W_vec,t_vec]=fBm_BML(0.9,1000,5);
% figure
% plot(t_vec,W_vec)

Cite As

A. Borri, A. De Gaetano, S. Panunzi (2022). fBm_BML (https://www.mathworks.com/matlabcentral/fileexchange/<...>), MATLAB Central File Exchange. Retrieved June 22, 2022.

MATLAB Release Compatibility
Created with R2022a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Inspired by: Fractional Brownian motion generator

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