Code covered by the BSD License  

Highlights from
Fractional Brownian motion generator

  • fbm1d.mgenerates one dimensional fractional Brownian motion 'W' on t in [0,1] using 'n' grid points
  • View all files
Be the first to rate this file! 34 Downloads (last 30 days) File Size: 1.55 KB File ID: #38935 Version: 1.0
image thumbnail

Fractional Brownian motion generator


Zdravko Botev (view profile)


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

| Watch this File

File Information

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)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.

Contact us