Nonlinear Dynamics

, Volume 38, Issue 1–4, pp 295–303

A Fractional Linear System View of the Fractional Brownian Motion

  • Manuel Duarte Ortigueira
  • Arnaldo Guimarães Batista
Article

DOI: 10.1007/s11071-004-3762-8

Cite this article as:
Ortigueira, M. & Batista, A. Nonlinear Dyn (2004) 38: 295. doi:10.1007/s11071-004-3762-8

Abstract

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.

Key words:

backward difference bilinear transformation fractional Brownian motion fractional differintegrator Hurst parameter 

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Copyright information

© Kluwer Academic Publishers 2004

Authors and Affiliations

  • Manuel Duarte Ortigueira
    • 1
  • Arnaldo Guimarães Batista
    • 1
  1. 1.UNINOVA/DEECampus da FCT da UNLQuinta da TorrePortugal

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