Fractional Brownian Motion 

The following was implemented in Maple by Marcus Davidsson (2008) davidsson_marcus@hotmail.com 

with significant help from Dr Aleksandrs Mihailovs 

We can  simulate a Fractional Brownian Motion as follows 

If the Hurst Exponent then the increments of the process are serial independent (Brownian Motion, Pure Random Walk) 

If the Hurst Exponent then the increments of the process are positively serial dependent 

If the Hurst Exponent then the increments of the process are negatively serial dependent 

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