A fractional linear system view of the fractional brownian motion

Ortigueira, M.D.; Batista, A. G.

http://hdl.handle.net/10362/2618

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Autores

Ortigueira, M.D.

Batista, A. G.

Resumo(s)

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.

Descrição

Nonlinear Dynamics, Vol. 38

Palavras-chave

Backward difference Bilinear transformation Fractional Brownian motion Fractional differintegrator Hurst parameter

URI

http://hdl.handle.net/10362/2618

Editora

Springer Netherlands

Coleções

FCT: DEE - Artigos em revista internacional com arbitragem científica

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