On the relation between the fractional Brownian motion and the fractional derivatives

The definition and simulation of fractional Brownian motion are considered from the point of view of a set of coherent fractional derivative definitions. To do it. two sets of fractional derivatives are considered: (a) the forward and backward and (b) the central derivatives, together with two representations: generalised difference and integral. It is shown that for these derivatives the corresponding autocorrelation functions have the same representations. The obtained results are used to define a fractional noise and, from it, the fractional Brownian motion. This is studied. The simulation problem is also considered. (C) 2007 Elsevier B.V. All rights reserved.