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A New Look at the Fractional Brownian Motion Definition

[+] Author Affiliations
Manuel Duarte Ortigueira, Arnaldo Guimarães Batista

UNINOVA - UNL Quinta da Torre, Caparica, Portugal

Paper No. DETC2007-35218, pp. 275-283; 9 pages
doi:10.1115/DETC2007-35218
From:
  • ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 5: 6th International Conference on Multibody Systems, Nonlinear Dynamics, and Control, Parts A, B, and C
  • Las Vegas, Nevada, USA, September 4–7, 2007
  • Conference Sponsors: Design Engineering Division and Computers and Information in Engineering Division
  • ISBN: 0-7918-4806-X | eISBN: 0-7918-3806-4
  • Copyright © 2007 by ASME

abstract

A reinterpretation of the classic definition of fractional Brownian motion leads to a new definition involving a fractional noise obtained as a fractional derivative of white noise. To obtain this fractional noise, two sets of fractional derivatives are considered: a) the forward and backward and b) the central derivatives. For these derivatives the autocorrelation functions of the corresponding fractional noises have the same representations. The obtained results are used to define and propose a new simulation procedure.

Copyright © 2007 by ASME
Topics: Brownian motion

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