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The path integral formulation of fractional Brownian motion for the general Hurst exponent

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dc.affiliation.dptoUC3M. Departamento de Físicaes
dc.affiliation.grupoinvUC3M. Grupo de Investigación: Física de Plasmases
dc.contributor.authorCalvo, Iván
dc.contributor.authorSánchez, Raúl
dc.date.accessioned2010-06-16T10:43:48Z
dc.date.available2010-06-16T10:43:48Z
dc.date.issued2008-07-18
dc.description5 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.abstractIn 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.sponsorshipPart 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.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJ. Phys. A: Math. Theor. 41, 282002 (2008)
dc.identifier.doi10.1088/1751-8113/41/28/282002
dc.identifier.issn1751-8113
dc.identifier.urihttps://hdl.handle.net/10016/8905
dc.language.isoeng
dc.publisherInstitute of Physics
dc.relation.publisherversionhttp://dx.doi.org/10.1088/1751-8113/41/28/282002
dc.rights© Institute of Physics
dc.rights.accessRightsopen access
dc.subject.ecienciaFísica
dc.subject.ecienciaFusión
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.titleThe path integral formulation of fractional Brownian motion for the general Hurst exponent
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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