Linear systems with fractional Brownian motion and Gaussian noise

被引：7
|
作者：
Grigoriu, Mircea [1 ]
机构：
[1] Cornell Univ, Sch Civil & Environm Engn, Ithaca, NY 14853 USA
来源：
PROBABILISTIC ENGINEERING MECHANICS | 2007年 / 22卷 / 03期
关键词：
fractional Brownian motion; linear random vibration; long range dependence; stochastic processes; stochastic integrals;
D O I：
10.1016/j.probengmech.2007.02.004
中图分类号：
TH [机械、仪表工业];
学科分类号：
0802 ;
摘要：
Methods are presented for calculating the evolution in time of the second moment properties of the output of linear systems subjected to fractional Brownian motion and fractional Gaussian noise, defined as the formal derivative of fractional Brownian motion. The study also examines whether the output of linear systems to fractional Brownian motion and fractional Gaussian noise exhibits long range dependence. Numerical examples are presented to illustrate the calculation of output statistics for some linear systems with fractional Brownian motion and fractional Gaussian noise input, and show that output of linear systems to these input processes may not have long memory. (c) 2007 Elsevier Ltd. All rights reserved.
引用
收藏
页码：276 / 284
页数：9
相关论文
共 50 条
  • [1] Fractional Brownian motion and fractional Gaussian noise
    Qian, H
    [J]. PROCESSES WITH LONG-RANGE CORRELATIONS: THEORY AND APPLICATIONS, 2003, 621 : 22 - 33
  • [2] Path integrals for fractional Brownian motion and fractional Gaussian noise
    Meerson, Baruch
    Benichou, Olivier
    Oshanin, Gleb
    [J]. PHYSICAL REVIEW E, 2022, 106 (06)
  • [3] Permutation entropy of fractional Brownian motion and fractional Gaussian noise
    Zunino, L.
    Perez, D. G.
    Martin, M. T.
    Garavaglia, M.
    Plastino, A.
    Rosso, O. A.
    [J]. PHYSICS LETTERS A, 2008, 372 (27-28) : 4768 - 4774
  • [4] ON MULTIVARIATE FRACTIONAL BROWNIAN MOTION AND MULTIVARIATE FRACTIONAL GAUSSIAN NOISE
    Coeurjolly, Jean-Francois
    Amblard, Pierre-Olivier
    Achard, Sophie
    [J]. 18TH EUROPEAN SIGNAL PROCESSING CONFERENCE (EUSIPCO-2010), 2010, : 1567 - 1571
  • [5] Bubble Entropy of Fractional Gaussian Noise and Fractional Brownian Motion
    Manis, George
    Bodini, Matteo
    Rivolta, Massimo W.
    Sassi, Roberto
    [J]. 2021 COMPUTING IN CARDIOLOGY (CINC), 2021,
  • [6] Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
    Zunino, L.
    Perez, D. G.
    Kowalski, A.
    Martin, M. T.
    Garavaglia, M.
    Plastino, A.
    Rosso, O. A.
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2008, 387 (24) : 6057 - 6068
  • [7] Correlation Properties of (Discrete) Fractional Gaussian Noise and Fractional Brownian Motion
    Delignieres, Didier
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015
  • [8] Filtering for linear systems driven by fractional Brownian motion
    Ahmed, NU
    Charalambous, CD
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2002, 41 (01) : 313 - 330
  • [9] Identification for some linear systems with fractional Brownian motion
    Pasik-Duncan, B
    [J]. OPTIMAL CONTROL AND PARTIAL DIFFERENTIAL EQUATIONS: IN HONOR OF PROFESSOR ALAIN BENSOUSSAN'S 60TH BIRTHDAY, 2001, : 277 - 282
  • [10] Filtering for linear systems driven by fractional Brownian motion
    Ahmed, NU
    Charalambous, CD
    [J]. PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5, 2000, : 4259 - 4263
12345