Accession Number:

AD0632795

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF STATISTICS

Report Date:

1966-03-01

Pagination or Media Count:

44.0

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

Subject Categories:

  • Operations Research
  • Nuclear Physics and Elementary Particle Physics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE