Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 1115.60044
Ortigueira, Manuel Duarte; Batista, Arnaldo Guimarães
A fractional linear system view of the fractional Brownian motion. (English)
[J] Nonlinear Dyn. 38, No. 1-4, 295-303 (2004). ISSN 0924-090X; ISSN 1573-269X/e

Authors' abstract: A definition of the fractional Brownian motion based on the fractional differintegrator characteristics is proposed and studied. It is shown that the model enjoys the usually required properties. A discrete-time version based in the backward difference and in the bilinear transformation is considered. Some results are presented.
[Monique Pontier (Toulouse)]

MSC 2000:: *60G15 Gaussian processes
60G18 Self-similar processes
60J65 Brownian motion

Keywords: discrete time fractional Brownian motion; aggregation variance method; fractional differintegration

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]