Approximations for reflected fractional Brownian motion.
basic_science · Level V
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- Record sourced from PubMed, PMID 31640037.
- Also identified by DOI 10.1103/PhysRevE.100.032120.
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Abstract
Fractional Brownian motion is a widely used stochastic process that is particularly suited to model anomalous diffusion. We focus on capturing the mean and variance of fractional Brownian motion reflected at level 0. As explicit expressions or numerical techniques are not available, we base our analysis on Monte Carlo simulation. Our main findings concern closed-form approximations of the mean and variance, with a near-perfect fit.