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
收藏
页码：295 / 303
页数：9
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