Diffusive representation of N-th order fractional brownian motion

Jaka Sembiring, Kudrat Soemintapoera, Tetsunori Kobayashi, Kageo Akizuki

Research output: Contribution to journalConference article

2 Citations (Scopus)

Abstract

This paper describes an effort to give a different representation of a newly Introduced n-th order fractional Brownian motion (n-fBm). The new representation is called diffusive representation which has been successfully applied to the 1/fα fractional noise. Thus this paper generalizes such representation to cover also n-fBm which is an extension to the ordinary fBm, due to the fact that the spectral properties of n-fBm cover larger range of parameter α. Different from 1/fα case, the solution involves finite part concept of theory of distribution. The advantage of the proposed method on synthesizing sample of n-fBm is presented.

Original languageEnglish
Pages (from-to)181-185
Number of pages5
JournalIFAC Proceedings Volumes (IFAC-PapersOnline)
Volume36
Issue number16
DOIs
Publication statusPublished - 2003 Jan 1
Event13th IFAC Symposium on System Identification, SYSID 2003 - Rotterdam, Netherlands
Duration: 2003 Aug 272003 Aug 29

Keywords

  • Brownian motion
  • Gaussian processes
  • Signal processing
  • Stochastic systems

ASJC Scopus subject areas

  • Control and Systems Engineering

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