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Brown Function

For a Fractal Process with values $y(t-\Delta t)$ and $y(t+\Delta t)$, the correlation between these two values is given by the Brown function

\begin{displaymath}
r=2^{2H-1}-1,
\end{displaymath}

also known as the Bachelier Function, Lévy Function, or Wiener Function.




© 1996-9 Eric W. Weisstein
1999-05-26