Fractional Brownian motion approximation based on fractional integration of a white noise

被引:21
作者
Chechkin, AV
Gonchar, VY
机构
[1] Kharkov Phys & Technol Inst, Inst Theoret Phys, Natl Sci Ctr, UA-310108 Kharkov, Ukraine
[2] Natl Acad Sci Ukraine, Inst Single Crystals, UA-310001 Kharkov, Ukraine
关键词
This work was supported by National Academy of Science of Ukraine; the Project Chaos-2 and by INTAS Program; Projects 93-1194 and LA-96-09;
D O I
10.1016/S0960-0779(99)00183-6
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of Tractional integration/differentiation of a white Gaussian noise. We consider correlation properties of the approximation to fractional Gaussian noise and point to the peculiarities of persistent and anti-persistent behaviors. We also investigate self-similarity properties of the approximation to fractional Brownian motion, namely, 'tau (H) laws' for the structure function and the range. We conclude that the models proposed serve as a convenient tool for modelling of natural processes and testing and improvement of methods aimed at analysis and interpretation of experimental data. (C) 2000 Elsevier Science Ltd. All rights reserved.
引用
收藏
页码:391 / 398
页数:8
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