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 "BH"("t") on [0, "T"], that starts at zero, has expectation zero for all "t" in [0, "T"], and has the following covariance function: