Brownian bridge of the Brownian bridge based on the Brownian motion is, for "t" ∈ [0, T] Conversely, for "t" ∈ [0, ∞] The Brownian bridge may also be represented as a Fourier series with stochastic coefficients, as where formula_9 are independent identically distributed standard normal random variables (see the Karhunen–Loève theorem). A Brownian bridge is the result of Donsker's theorem in the area of empirical processes. It is also used in the Kolmogorov–Smirnov test in the area of statistical inference. A standard Wiener process satisfies "W"(0) = 0 and is therefore "tied down" to the origin, but other points are not
Fractional Brownian motion Hypergeometric functions are part of the GNU scientific library. Fractional Brownian motion In probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not be independent. fBm is a continuous-time Gaussian process "B"("t") on [0, "T"], which starts at zero, has expectation zero for all "t" in [0, "T"], and has the following covariance function: where "H" is a real number in (0, 1), called the Hurst index or Hurst parameter associated with the fractional Brownian motion. The Hurst exponent describes the raggedness