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- W1981036774 abstract "The relationship between standard fractional Brownian motion (FBM) and FBM based on the Riemann-Liouville fractional integral (or RL-FBM) is clarified. The absence of stationary property in the increment process of RL-FBM is compensated by a weaker property of local stationarity, and the stationary property for the increments of the large-time asymptotic RL-FBM. Generalization of RL-FBM to the RL-multifractional Brownian motion (RL-MBM) can be carried out by replacing the constant Hölder exponent by a time-dependent function. RL-MBM is shown to satisfy a weaker scaling property known as the local asymptotic self-similarity. This local scaling property can be translated into the small-scale behaviour of the associated scalogram by using the wavelet transform." @default.
- W1981036774 created "2016-06-24" @default.
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- W1981036774 date "2001-02-09" @default.
- W1981036774 modified "2023-09-26" @default.
- W1981036774 title "Fractional Brownian motion and multifractional Brownian motion of Riemann-Liouville type" @default.
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- W1981036774 doi "https://doi.org/10.1088/0305-4470/34/7/306" @default.
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