fBm_BML

One-dimensional fractional Brownian motion (fBm) generator using time-domain computation and Cholesky decomposition of increment covariance

% One-dimensional fractional Brownian motion (fBm) generator

% given the Hurst parameter 'H' in [0,1], the output is 'W_vec' computed over a vector t_vec of 'n' equally spaced time points

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% by Alessandro Borri, Andrea De Gaetano, Simona Panunzi

% CNR-IASI BioMatLab (BML), National Research Council of Italy

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% INPUT: Hurst parameter 'H' in [0,1], number of grid points 'n', final time 'T'.

% OUTPUT: Fractional Brownian motion 'W_vec' at times 't_vec'

% If no output is invoked, the function plots the fBm.

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% Example: plot fBm with Hurst parameter 0.9 on the interval [0,5]

% [W_vec,t_vec]=fBm_BML(0.9,1000,5);

% figure

% plot(t_vec,W_vec)