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dc.contributor.authorBaxevani, Anastassiaen
dc.contributor.authorPodgórski, K.en
dc.creatorBaxevani, Anastassiaen
dc.creatorPodgórski, K.en
dc.description.abstractThe 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.sourceActa Physica Polonica Ben
dc.subjectMathematical transformationsen
dc.subjectBrownian movementen
dc.subjectFractional Brownian motionen
dc.subjectLinear combinationsen
dc.subjectStationary processen
dc.subjectSecond ordersen
dc.subjectOrnstein-Uhlenbeck processen
dc.subjectSelf-similar processen
dc.subjectStationary Gaussian processen
dc.subjectTwo-dimensional structuresen
dc.titleSeries decomposition of fractional Brownian motion and its Lamperti transformen
dc.description.endingpage1435Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied SciencesΤμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.description.notes<p>Cited By :2</p>en
dc.source.abbreviationActa Phys Pol Ben
dc.contributor.orcidBaxevani, Anastassia [0000-0002-7498-9048]

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