Wavelet synthesis of fractional Brownian motion


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  • Author:  Gang Hu Shihua Zhu Bo Xie Dept. of Inf. & Commun. Eng.  Xi'an Jiaotong Univ.;  

  • Abstract:  Abstract Fractional Brownian motion (fBm) offers a convenient modeling for non-stationary stochastic processes with long-term dependencies and 1/f-type spectral behavior over a wide range of frequencies. The orthonormal wavelet transformation coefficients of fBm are analyzed. We introduce the wavelet synthesis algorithm of fBm, and try to improve the algorithm on this basis. A variety of results from simulations are presented to demonstrate the melioration of the algorithm

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