Construction of a complex-valued fractional Brownian motion of order N

DOI10.1063/1.529976zbMath0762.60073OpenAlexW2002404403MaRDI QIDQ4031024

Philippe Sainty

Publication date: 1 April 1993

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.529976

zbMATH Keywords

Brownian motioncomplex-valued fractional Brownian motionfractal nature of the Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Other physical applications of random processes (60K40)

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Cites Work

• Characteristic methods for multi-dimensional evolution equations
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• Generalization of the diffusion equation by using the maximum entropy principle
• Polynomial Expansions for Solutions of the System $D_{X_1}^k U(X_1 , \cdots ,X_r ) = D_{X_k} U(X_1 , \cdots ,X_r )^ * $
• Fractional Brownian Motions, Fractional Noises and Applications

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