Multi-Fractional Brownian Motion: Estimating the Hurst Exponent via Variational Smoothing with Applications in Finance
Beginning with the basics of the Wiener process, we consider limitations characterizing the “Brownian approach” in analyzing real phenomena. This leads us to first consider the fractional Brownian motion (fBm)—also discussing the Wood–Chan fast algorithm to generate sample paths—to then focus on mul...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-08-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/8/1657 |