FRACTIONAL BROWNIAN MOTION, SELF-SIMILAR PROCESSES, AND APPLICATIONS,

Abstract

A family of Gaussian processes, called fractional Brownian motion, which arise naturally from an examination of the conditions of validity of the central limit theorem, is studied. Fractional Brownian motion possesses an important property of 'self-similarity.' This property leads to a more general class of processes, not necessarily Gaussian, called self-similar processes. This paper is addressed to mathematicians, scientists, and engineers; the material is arranged in order of increasing mathematical sophistication. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1966
Accession Number
AD0632795

Entities

People

  • Benoit B. Mandelbrot
  • John W. Van Ness

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Brownian Motion
  • Data Science
  • Engineers
  • Gaussian Processes
  • Information Science
  • Materials
  • Scientists

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Systems Analysis and Design
  • Wave Propagation and Nonlinear Chaotic Dynamics.