Publication: The path integral formulation of fractional Brownian motion for the general Hurst exponent
dc.affiliation.dpto | UC3M. Departamento de Física | es |
dc.affiliation.grupoinv | UC3M. Grupo de Investigación: Física de Plasmas | es |
dc.contributor.author | Calvo, Iván | |
dc.contributor.author | Sánchez, Raúl | |
dc.date.accessioned | 2010-06-16T10:43:48Z | |
dc.date.available | 2010-06-16T10:43:48Z | |
dc.date.issued | 2008-07-18 | |
dc.description | 5 pages, no figures.-- PACS nrs.: 05.40.-a, 02.50.Ey, 05.10.Gg.-- ArXiv preprint available at: http://arxiv.org/abs/0805.1170 | |
dc.description.abstract | In 1995, Sebastian (1995 J. Phys. A: Math. Gen. 28 4305) gave a path integral computation of the propagator of subdiffusive fractional Brownian motion (fBm), i.e. fBm with a Hurst or self-similarity exponent H ∈ (0, 1/2). The extension of Sebastian's calculation to superdiffusion, H ∈ (1/2, 1], becomes however quite involved due to the appearance of additional boundary conditions on fractional derivatives of the path. In this communication, we address the construction of the path integral representation in a different fashion, which allows us to treat both subdiffusion and superdiffusion on an equal footing. The derivation of the propagator of fBm for the general Hurst exponent is then performed in a neat and unified way. | |
dc.description.sponsorship | Part of this research was sponsored by the Laboratory Research and Development Program of Oak Ridge National Laboratory, managed by UT-Battelle, LLC, for the US Department of Energy under contract number DE-AC05-00OR22725. | |
dc.description.status | Publicado | |
dc.format.mimetype | application/pdf | |
dc.identifier.bibliographicCitation | J. Phys. A: Math. Theor. 41, 282002 (2008) | |
dc.identifier.doi | 10.1088/1751-8113/41/28/282002 | |
dc.identifier.issn | 1751-8113 | |
dc.identifier.uri | https://hdl.handle.net/10016/8905 | |
dc.language.iso | eng | |
dc.publisher | Institute of Physics | |
dc.relation.publisherversion | http://dx.doi.org/10.1088/1751-8113/41/28/282002 | |
dc.rights | © Institute of Physics | |
dc.rights.accessRights | open access | |
dc.subject.eciencia | Física | |
dc.subject.eciencia | Fusión | |
dc.subject.other | [PACS] Fluctuation phenomena, random processes, noise, and Brownian motion | |
dc.subject.other | [PACS] Stochastic processes | |
dc.subject.other | [PACS] Stochastic analysis methods (Fokker-Planck, Langevin, etc.) | |
dc.title | The path integral formulation of fractional Brownian motion for the general Hurst exponent | |
dc.type | research article | * |
dc.type.review | PeerReviewed | |
dspace.entity.type | Publication |
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