Alternative micropulses and fractional Brownian motion (Q1374631): Difference between revisions
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Property / author: Renata Cioczek-Georges / rank | |||
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Property / author: Benoit B. Mandelbrot / rank | |||
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Property / author: Renata Cioczek-Georges / rank | |||
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Property / author: Benoit B. Mandelbrot / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / cites work: A class of micropulses and antipersistent fractional Brownian motion / rank | |||
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Property / cites work: Stable fractal sums of pulses: The cylindrical case / rank | |||
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Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank | |||
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Property / cites work: Q3771297 / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/s0304-4149(96)00089-0 / rank | |||
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Property / OpenAlex ID: W2042963681 / rank | |||
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Latest revision as of 21:04, 4 August 2024
scientific article
Language | Label | Description | Also known as |
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English | Alternative micropulses and fractional Brownian motion |
scientific article |
Statements
Alternative micropulses and fractional Brownian motion (English)
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10 December 1997
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The generation of fractional Brownian motion (FBM) as a fractal sum of micropulses is considered [cf. \textit{B. B. Mandelbrot} and \textit{J. W. Van Ness}, SIAM Rev. 10, 422-437 (1968; Zbl 0179.47801)]). In an earlier paper of the authors [Stochastic Process Appl. 60, 1-8 (1995; Zbl 0846.60055)], rectangular pulses leading to negatively correlated (the self-affinity exponent \(H<1/2\)) FMB's have been examined. More general pulse shapes are treated here starting with conical and semiconical pulses and ending with Lévy staircase, Cantor pyramid and multifractal staircase. The location of the pulse, its width and height are random, the transformation of a pulse proceeds by letting the tangent of the base angle go to zero. It is shown that only pulses without jumps at their starting and ending points generate positively correlated and ordinary Brown motion (\(H\geq 1/2\)).
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fractal sums of micropulses
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fractional Brownian motion
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self-affinity
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