Abstract
Fractional Brownian motion (fBm) can be generalized to multifractional Brownian motion (mBm) if the Hurst exponent H is replaced by a deterministic function H( t). The two possible generalizations of mBm based on the moving average representation and the harmonizable representation are first shown to be equivalent up to a multiplicative deterministic function of time by Cohen [S. Cohen, in: M. Dekking et al. (Eds.), Fractals: Theory and Applications in Engineering, Springer, Berlin, 1999, p. 3.] using the Fourier transform method. In this Letter, we give an alternative verification of such an equivalence based on the direct computation of the covariances of these two Gaussian processes. There also exists another equivalent representation of mBm, which is a variant version of the harmonizable representation. Finally, we consider a generalization based on the Riemann–Liouville fractional integral, and study the large time asymptotic properties of this version of mBm.
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