Open Access
February 2013 Benoît Mandelbrot and Fractional Brownian Motion
Murad S. Taqqu
Statist. Sci. 28(1): 131-134 (February 2013). DOI: 10.1214/12-STS389


Although fractional Brownian motion was not invented by Benoît 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.


Download Citation

Murad S. Taqqu. "Benoît Mandelbrot and Fractional Brownian Motion." Statist. Sci. 28 (1) 131 - 134, February 2013.


Published: February 2013
First available in Project Euclid: 29 January 2013

zbMATH: 1332.60008
MathSciNet: MR3075342
Digital Object Identifier: 10.1214/12-STS389

Keywords: Benoît Mandelbrot , Hurst statistic , long memory , long-range dependence , self-similarity

Rights: Copyright © 2013 Institute of Mathematical Statistics

Vol.28 • No. 1 • February 2013
Back to Top