A Fractional Linear System View of the Fractional Brownian Motion
- Cite this article as:
- Ortigueira, M. & Batista, A. Nonlinear Dyn (2004) 38: 295. doi:10.1007/s11071-004-3762-8
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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