A fractional linear system view of the fractional brownian motion

Manuel Duarte Ortigueira, Arnaldo Guimarães Batista

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22 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)295-303
Number of pages9
JournalNonlinear Dynamics
Volume38
Issue number1-4
DOIs
Publication statusPublished - Dec 2004

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Keywords

  • Backward difference
  • Bilinear transformation
  • Fractional Brownian motion
  • Fractional differintegrator
  • Hurst parameter

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