Fractional Brownian motion generator
by Zdravko Botev
06 Nov 2012
Generates fractional Brownian motion with a given Hurst parameter using the FFT.
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| File Information |
| Description |
For a detailed mathematical explanation of the Matlab code and lots of examples see the companion paper:
weblink:
http://www.maths.uq.edu.au/~kroese/ps/MCSpatial.pdf
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
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| MATLAB release |
MATLAB 7.11 (R2010b)
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