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

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Show simple item record Calvo, Iván Sánchez, Raúl 2010-06-16T10:43:48Z 2010-06-16T10:43:48Z 2008-07-18
dc.identifier.bibliographicCitation J. Phys. A: Math. Theor. 41, 282002 (2008)
dc.identifier.issn 1751-8113
dc.description 5 pages, no figures.-- PACS nrs.: 05.40.-a, 02.50.Ey, 05.10.Gg.-- ArXiv preprint available at:
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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Institute of Physics
dc.rights © Institute of Physics
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 article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Física
dc.subject.eciencia Fusión
dc.identifier.doi 10.1088/1751-8113/41/28/282002
dc.rights.accessRights openAccess
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