dc.contributor.author | Baxevani, Anastassia | en |
dc.contributor.author | Podgórski, K. | en |
dc.creator | Baxevani, Anastassia | en |
dc.creator | Podgórski, K. | en |
dc.date.accessioned | 2019-12-02T10:33:49Z | |
dc.date.available | 2019-12-02T10:33:49Z | |
dc.date.issued | 2009 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/56475 | |
dc.description.abstract | The Lamperti transformation of a self-similar process is a stationary process. In particular, the fractional Brownian motion transforms to the second order stationary Gaussian process. This process is represented as a series of independent processes. The terms of this series are Ornstein-Uhlenbeck processes if H1/2. From the representation effective approximations of the process are derived. The corresponding results for the fractional Brownian motion are obtained by applying the inverse Lamperti transformation. Implications for simulating the fractional Brownian motion are discussed. | en |
dc.source | Acta Physica Polonica B | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-67649126584&partnerID=40&md5=bcbe9dc6e355e8e90351e8416ef4b21c | |
dc.subject | Mathematical transformations | en |
dc.subject | Brownian movement | en |
dc.subject | Fractional Brownian motion | en |
dc.subject | Linear combinations | en |
dc.subject | Stationary process | en |
dc.subject | Markovian | en |
dc.subject | Second orders | en |
dc.subject | Ornstein-Uhlenbeck process | en |
dc.subject | Self-similar process | en |
dc.subject | Stationary Gaussian process | en |
dc.subject | Two-dimensional structures | en |
dc.title | Series decomposition of fractional Brownian motion and its Lamperti transform | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 40 | |
dc.description.issue | 5 | |
dc.description.startingpage | 1395 | |
dc.description.endingpage | 1435 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :2</p> | en |
dc.source.abbreviation | Acta Phys Pol B | en |
dc.contributor.orcid | Baxevani, Anastassia [0000-0002-7498-9048] | |
dc.gnosis.orcid | 0000-0002-7498-9048 | |