On the relation between the fractional Brownian motion and the fractional derivatives

DOI10.1016/j.physleta.2007.08.062zbMath1217.26016MaRDI QIDQ552747

Arnaldo Guimarães Batista, Manuel Duarte Ortigueira

Publication date: 26 July 2011

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

Full work available at URL: http://hdl.handle.net/10362/2416

zbMATH Keywords

fractional Brownian motion; Liouville derivative; fractional stochastic process; central fractional derivatives; differintegration; forward and backward fractional derivatives; generalised Cauchy derivative

Mathematics Subject Classification ID

60J65: Brownian motion

26A33: Fractional derivatives and integrals

60H40: White noise theory

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Cites Work

• Riesz potential operators and inverses via fractional centred derivatives
• A fractional linear system view of the fractional Brownian motion
• Spectral representation of fractional Brownian motion in n dimensions and its properties
• Fractional Brownian Motions, Fractional Noises and Applications
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