A fractional linear system view of the fractional brownian motion

Manuel Duarte Ortigueira; Arnaldo Guimarães Batista

doi:10.1007/s11071-004-3762-8

A fractional linear system view of the fractional brownian motion

Manuel Duarte Ortigueira, Arnaldo Guimarães Batista

Research output: Contribution to journal › Article › peer-review

28 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 language	English
Pages (from-to)	295-303
Number of pages	9
Journal	Nonlinear Dynamics
Volume	38
Issue number	1-4
DOIs	https://doi.org/10.1007/s11071-004-3762-8
Publication status	Published - Dec 2004

Keywords

Backward difference
Bilinear transformation
Fractional Brownian motion
Fractional differintegrator
Hurst parameter

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10.1007/s11071-004-3762-8

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title = "A fractional linear system view of the fractional brownian motion",

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.",

keywords = "Backward difference, Bilinear transformation, Fractional Brownian motion, Fractional differintegrator, Hurst parameter",

author = "Ortigueira, {Manuel Duarte} and Batista, {Arnaldo Guimar{\~a}es}",

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AU - Batista, Arnaldo Guimarães

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KW - Backward difference

KW - Bilinear transformation

KW - Fractional Brownian motion

KW - Fractional differintegrator

KW - Hurst parameter

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JO - Nonlinear Dynamics

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A fractional linear system view of the fractional brownian motion

Abstract

Keywords

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