A fractional linear system view of the fractional brownian motion

• Author(s): Ortigueira, M.D. ; Batista, A. G.
• Date: 2004
• Persistent ID: http://hdl.handle.net/10362/2618
• Origin: Repositório Institucional da UNL
• Subject(s): Backward difference; Bilinear transformation; Fractional Brownian motion; Fractional differintegrator; Hurst parameter
• Document Type: Article
• Language: English

Description

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.