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

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

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4 p.

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Bologna, Mauro; Vanni, Fabio; Krokhin, Arkadii A. & Grigolini, Paolo August 27, 2010.

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

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4 p.

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

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.

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  • Physical Review E, 2010, College Park: American Physical Society

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  • Publication Title: Physical Review E
  • Volume: 82
  • Issue: 2
  • Pages: 4
  • Peer Reviewed: Yes

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The Scholarly Works Collection is home to materials from the University of North Texas community's research, creative, and scholarly activities and serves as UNT's Open Access Repository. It brings together articles, papers, artwork, music, research data, reports, presentations, and other scholarly and creative products representing the expertise in our university community.** Access to some items in this collection may be restricted.**

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  • August 27, 2010

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  • Sept. 9, 2011, 2:01 p.m.

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  • April 2, 2014, 4:05 p.m.

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Bologna, Mauro; Vanni, Fabio; Krokhin, Arkadii A. & Grigolini, Paolo. Memory Effects in Fractional Brownian Motion with Hurst Exponent H<1/3, article, August 27, 2010; [College Park, Maryland]. (digital.library.unt.edu/ark:/67531/metadc40405/: accessed February 24, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT College of Arts and Sciences.