A fractional linear system view of the fractional Brownian motion

被引：30

作者：

Ortigueira, MD ^{[1
]}

Batista, AG ^{[1
]}

机构：

[1] Univ Nova Lisboa, UNINOVA, DEE, P-2825 Monte De Caparica, Portugal

来源：

NONLINEAR DYNAMICS | 2004年 / 38卷 / 1-4期

关键词：

backward difference; bilinear transformation; fractional Brownian motion; fractional differintegrator; Hurst parameter;

D O I：

10.1007/s11071-004-3762-8

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

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.

引用

页码：295 / 303

页数：9

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