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# mBm | ||
Generates Riemann-Liouville multifractional Brownian motion paths with a given Hurst function. | ||
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## Usage | ||
* `mbm = mBm(n,H,interval)` produces a mBm path of length `n` with Hurst function `H` evaluated at the `interval`. If `interval = []` then it is set to `[0 1]`. | ||
* `[mbm, ts] = mBm(n,H,interval)` also produces the vector of the time steps. | ||
* `[mbm, ts, hs] = mBm(n,H,interval)` also produces the vector of the Hurst steps, i.e. the Hurst function evaluated at the `interval`. | ||
* `[...] = mBm(n,H,interval,fig)` plots the path and `H` if `fig = true`. | ||
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`n` = integer bigger than 1<br> | ||
`H` = function or real number between 0 and 1<br> | ||
`interval` = vector with two increasing components<br> | ||
`fig` = boolean | ||
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## Examples | ||
``` | ||
mBm(500, 0.8, [], true); | ||
mBm(500, @(t) 0.6*t + 0.3, [], true); | ||
mBm(500, @(t) 0.7 - 0.4 * exp(-64*(t-0.75).^2), [], true); | ||
mBm(500, @(t) atan(t) / 3 + 0.5, [-pi pi], true); | ||
mBm(500, @(t) sin(t) / 3 + 1/2, [0 4*pi], true); | ||
``` | ||
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## Reference | ||
S. V. Muniandy and S. C. Lim (2001)<br> | ||
Modeling of locally self-similar processes using multifractional Brownian motion of Riemann-Liouville type.<br> | ||
Physical Review E 63(4 Pt 2):046104<br> | ||
DOI: 10.1103/PhysRevE.63.046104 |