Memory Effects in Fractional Brownian Motion with Hurst Exponent H<1/3

Description:

This article discusses a study on the regression to the origin of a walker driven by dynamically generated fractional Brownian motion.

Creator(s):
Creation Date: August 27, 2010
Partner(s):
UNT College of Arts and Sciences
Collection(s):
UNT Scholarly Works
Usage:
Total Uses: 182
Past 30 days: 3
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Creator (Author):
Bologna, Mauro

Universidad de Tarapacá

Creator (Author):
Vanni, Fabio

University of North Texas

Creator (Author):
Krokhin, Arkadii A.

University of North Texas

Creator (Author):
Grigolini, Paolo

University of North Texas

Publisher Info:
Publisher Name: American Physical Society
Place of Publication: [College Park, Maryland]
Date(s):
  • Creation: August 27, 2010
Description:

This article discusses a study on the regression to the origin of a walker driven by dynamically generated fractional Brownian motion.

Degree:
Department: Physics
Note:

Copyright 2010 American Physical Society. The following article appeared in Physical Review E, 82:2; http://pre.aps.org/abstract/PRE/v82/i2/e020102

Note:

Abstract: We study the regression to the origin of a walker driven by dynamically generated fractional Brownian motion (FBM) and we prove that when the FBM scaling, i.e., the Hurst exponent H<1/3, the emerging inverse power law is characterized by a power index that is a compelling signature of the infinitely extended memory of the system. Strong memory effects leads to the relation H=θ/2 between the Hurst exponent and the persistent exponent θ, which is different from the widely used relation H=1 - θ. The latter is valid for 1/3<H<1 and is known to be compatible with the renewal assumption.

Physical Description:

4 p.

Language(s):
Subject(s):
Keyword(s): fractional Brownian motions | Hurst exponents
Source: Physical Review E, 2010, College Park: American Physical Society
Partner:
UNT College of Arts and Sciences
Collection:
UNT Scholarly Works
Identifier:
  • DOI: 10.1103/PhysRevE.82.020102
  • ARK: ark:/67531/metadc40405
Resource Type: Article
Format: Text
Rights:
Access: Public
Citation:
Publication Title: Physical Review E
Volume: 82
Issue: 2
Pages: 4
Peer Reviewed: Yes