Benoît Mandelbrot and Fractional Brownian Motion

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.

Published in at http://dx.doi.org/10.1214/12-STS389 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (2)

• Central limit theorems for sequences of multiple stochastic integrals
• Properties and numerical evaluation of the Rosenblatt distribution

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