Fractional Brownian motion approximation based on fractional integration of a white noise

DOI10.1016/S0960-0779(99)00183-6zbMath0980.60044arXivcond-mat/9902209OpenAlexW2031918594MaRDI QIDQ5939056

Aleksei V. Chechkin, Vsevolod Yu. Gonchar

Publication date: 4 March 2002

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

Full work available at URL: https://arxiv.org/abs/cond-mat/9902209

zbMATH Keywords

fractional Brownian motionapproximation of fractional Brownian motionfractional Gaussian mix

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18)

Related Items (4)

Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Spectral design of anomalous diffusion ⋮ Power Brownian motion ⋮ Permutation entropy of fractional Brownian motion and fractional Gaussian noise

Cites Work

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• Decomposition of Hardy Functions into Square Integrable Wavelets of Constant Shape
• Spectral analysis of non-linear systems involving square-law operations
• Local Fractional Fokker-Planck Equation
• Fractional Brownian Motions, Fractional Noises and Applications

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