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Stochastic Analysis of the Fractional Brownian Motion

✍ Scribed by L. Decreusefond; A.S. üstünel


Book ID
110264431
Publisher
Springer Netherlands
Year
1999
Tongue
English
Weight
230 KB
Volume
10
Category
Article
ISSN
0926-2601

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This paper deals with the study of fractional Brownian motion (tam) and fractional Brownian noises. First. we study the Barnes and Allan model, which is very close to the (tbm). Then, we propose an infinite dimension state model, where each state is the solution of a first order differential equatio