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A fractional linear system view of the fractional Brownian motion. (English) Zbl 1115.60044
Authors’ abstract: A definition of the fractional Brownian motion based on the fractional differintegrator characteristics is proposed and studied. It is shown that the model enjoys the usually required properties. A discrete-time version based in the backward difference and in the bilinear transformation is considered. Some results are presented.

60G15Gaussian processes
60G18Self-similar processes
60J65Brownian motion
Full Text: DOI
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