A fractional linear system view of the fractional Brownian motion

DOI10.1007/s11071-004-3762-8zbMath1115.60044MaRDI QIDQ2499402

Arnaldo Guimarães Batista, Manuel Duarte Ortigueira

Publication date: 14 August 2006

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10362/2618

zbMATH Keywords

fractional differintegration; aggregation variance method; discrete time fractional Brownian motion

Mathematics Subject Classification ID

60G15: Gaussian processes

60J65: Brownian motion

60G18: Self-similar stochastic processes

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