Two-dimensional fractional Brownian motion: analysis in time and frequency domains
Abstract
Abstract This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model parameters and explicitly incorporates cross-dependencies and anisotropic scaling through a matrix-valued Hurst operator. We thoroughly analyze the theoretical properties of the proposed causal and well-balanced 2D fBm versions, deriving their auto- and cross-covariance structures in both time and frequency domains. In particular, we present the power spectral density of these processes and their increments. Our analytical findings are validated with numerical simulations. This work provides a comprehensive framework for modeling anomalous diffusion phenomena in multidimensional systems where component interdependencies are crucial.
Fields of Study & Subjects
Fractional Differential Equations Solutions
Complex Systems and Time Series Analysis
stochastic dynamics and bifurcation
Publication details
- Journal / source
- Journal of Physics A Mathematical and Theoretical
- Publisher
- IOP Publishing
- Volume
- 59
- Issue
- 15
- Pages
- 155202–155202
- Publication date
- 31 March 2026
- Language
- EN