A new approach to fractional Brownian motion of order \(n\) via random walk in the complex plane

DOI10.1016/S0960-0779(98)00103-9zbMath0973.60039MaRDI QIDQ1125133

Guy Jumaric

Publication date: 29 November 1999

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

zbMATH Keywords

random walksfractional Brownian motionstochastic calculus of order \(n\)

Mathematics Subject Classification ID

Gaussian processes (60G15) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

MODELING FRACTAL DYNAMICAL SYSTEMS IN THE COMPLEX SPACE. FROM MACRO-OBSERVATION TO MICRO-OBSERVATION, Probability density of the complex-valued fractional Brownian motion of order \(n\) via the maximum entropy principle in \(\mathbb R_{+}^{1/n}\), Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations, Randomization of transfer functions in control systems via computer vision with pixel noises of order \(n\), Formal calculus for real‐valued fractional Brownian motions prospects in systems science, Fractional Brownian motion with complex variance via random walk in the complex plane and applications, Anomalous diffusion on fractal objects: additional analytic solutions, STOCHASTICS OF ORDER n IN BIOLOGICAL SYSTEMS: APPLICATIONS TO POPULATION DYNAMICS, THERMODYNAMICS, NONEQUILIBRIUM PHASE AND COMPLEXITY

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A signed measure on path space related to Wiener measure
• A new approach to complex-valued fractional Brownian motion via rotating white noise
• A new information-theoretic approach to the entropy of non-random discrete maps relation to fractal dimension and temperature of curves
• Stochastic stability and control
• LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
• Construction of a complex-valued fractional Brownian motion of order N
• Fractional Brownian Motions, Fractional Noises and Applications
• On Distributions of Certain Wiener Functionals