On some possible generalizations of fractional Brownian motion.

DOI10.1016/S0375-9601(00)00034-7zbMath1068.82518MaRDI QIDQ1569539

N. Delaunay

Publication date: 3 July 2000

Published in: Physics Letters. A (Search for Journal in Brave)

zbMATH Keywords

Gaussian processes; multifractional Brownian motion; large time asymptotic; Hurst exponent; moving average representation; Riemann-Liouville fractional integral; harmonizable representation

Mathematics Subject Classification ID

60K40: Other physical applications of random processes

82B41: Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics

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Cites Work

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• Identifying the multifractional function of a Gaussian process
• Elliptic Gaussian random processes
• Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
• Fractional Brownian Motions, Fractional Noises and Applications