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

Fingerprint

Brownian movement

Keywords

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

ASJC Scopus subject areas

  • Control and Systems Engineering

Cite this

Diffusive representation of N-th order fractional brownian motion. / Sembiring, Jaka; Soemintapoera, Kudrat; Kobayashi, Tetsunori; Akizuki, Kageo.

In: IFAC Proceedings Volumes (IFAC-PapersOnline), Vol. 36, No. 16, 01.01.2003, p. 181-185.

Research output: Contribution to journalConference article

Sembiring, Jaka ; Soemintapoera, Kudrat ; Kobayashi, Tetsunori ; Akizuki, Kageo. / Diffusive representation of N-th order fractional brownian motion. In: IFAC Proceedings Volumes (IFAC-PapersOnline). 2003 ; Vol. 36, No. 16. pp. 181-185.
@article{54c25f8533b54dc79e64adc1c424a284,
title = "Diffusive representation of N-th order fractional brownian motion",
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.",
keywords = "Brownian motion, Gaussian processes, Signal processing, Stochastic systems",
author = "Jaka Sembiring and Kudrat Soemintapoera and Tetsunori Kobayashi and Kageo Akizuki",
year = "2003",
month = "1",
day = "1",
doi = "10.1016/S1474-6670(17)34759-6",
language = "English",
volume = "36",
pages = "181--185",
journal = "IFAC-PapersOnLine",
issn = "2405-8963",
publisher = "IFAC Secretariat",
number = "16",

}

TY - JOUR

T1 - Diffusive representation of N-th order fractional brownian motion

AU - Sembiring, Jaka

AU - Soemintapoera, Kudrat

AU - Kobayashi, Tetsunori

AU - Akizuki, Kageo

PY - 2003/1/1

Y1 - 2003/1/1

N2 - 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.

AB - 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.

KW - Brownian motion

KW - Gaussian processes

KW - Signal processing

KW - Stochastic systems

UR - http://www.scopus.com/inward/record.url?scp=84867056251&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84867056251&partnerID=8YFLogxK

U2 - 10.1016/S1474-6670(17)34759-6

DO - 10.1016/S1474-6670(17)34759-6

M3 - Conference article

AN - SCOPUS:84867056251

VL - 36

SP - 181

EP - 185

JO - IFAC-PapersOnLine

JF - IFAC-PapersOnLine

SN - 2405-8963

IS - 16

ER -