Fractional Brownian motion stationary and self-similar increments. It has stationary increments: For "H" > ½ the process exhibits long-range dependence, Sample-paths are almost nowhere differentiable. However, almost-all trajectories are locally Hölder continuous of any order strictly less than "H": for each such trajectory, for every "T" > 0 and for every "ε" > 0 there exists a (random) constant "c" such that for 0 < "s","t" < "T". With probability 1, the graph of "B"("t") has both Hausdorff dimension and box dimension of 2−"H". As for regular Brownian motion, one can define stochastic integrals with respect to fractional Brownian motion, usually called "fractional
Fractional Brownian motion Motion are independent, increments for fractional Brownian motion are not. If H > 1/2, then there is positive autocorrelation: if there is an increasing pattern in the previous steps, then it is likely that the current step will be increasing as well. If H < 1/2, the autocorrelation is negative. The process is self-similar, since in terms of probability distributions: This property is due to the fact that the covariance function is homogeneous of order 2H and can be considered as a fractal property. FBm can also be defined as the unique mean-zero Gaussian process, null at the origin, with