Representations of fractional Brownian motion using vibrating strings

K.O. Dzhaparidze, J.H. Zanten, van, P. Zareba

    Research output: Contribution to journalArticleAcademicpeer-review

    7 Citations (Scopus)

    Abstract

    In this paper, we show that the moving average and series representations of fractional Brownian motion can be obtained using the spectral theory of vibrating strings. The representations are shown to be consequences of general theorems valid for a large class of second-order processes with stationary increments. Specifically, we use the 1–1 relation discovered by M.G. Krein between spectral measures of continuous second-order processes with stationary increments and differential equations describing the vibrations of a string with a certain length and mass distribution.
    Original languageEnglish
    Pages (from-to)1928-1953
    JournalStochastic Processes and their Applications
    Volume115
    Issue number12
    DOIs
    Publication statusPublished - 2005

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