A fractional linear system view of the fractional brownian motion

• Autor(es): Ortigueira, M.D. ; Batista, A. G.
• Data: 2004
• Identificador Persistente: http://hdl.handle.net/10362/2618
• Origem: Repositório Institucional da UNL
• Assunto(s): Backward difference; Bilinear transformation; Fractional Brownian motion; Fractional differintegrator; Hurst parameter
• Tipo de Documento: Artigo
• Idioma: Inglês

Descrição

Nonlinear Dynamics, Vol. 38 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.