Benoît Mandelbrot and fractional Brownian motion

DOI10.1214/12-STS389zbMATH Open1332.60008arXiv1302.5237MaRDI QIDQ254347FDOQ254347

Authors: Murad S. Taqqu 

Publication date: 8 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Abstract: Although fractional Brownian motion was not invented by Benoit Mandelbrot, it was he who recognized the importance of this random process and gave it the name by which it is known today. This is a personal account of the history behind fractional Brownian motion and some subsequent developments.

Full work available at URL: https://arxiv.org/abs/1302.5237

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zbMATH Keywords

long-range dependencelong memoryHurst statisticself-similarityBenoît Mandelbrot

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) History of mathematics in the 20th century (01A60) Biographies, obituaries, personalia, bibliographies (01A70) History of probability theory (60-03)

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Cited In (7)

• Quantum probes for fractional Gaussian processes
• Fractional Brownian motions: memory, diffusion velocity, and correlation functions
• Fractal property of generalized M-set with rational number exponent
• A method for identifying diffusive trajectories with stochastic models
• Paired Lévy–Mandelbrot Trajectory as a Homogeneous Fractal
• New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion
• Empirical likelihood methods for discretely observed Gaussian moving averages

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