期刊
PHYSICAL REVIEW LETTERS
卷 115, 期 21, 页码 -出版社
AMER PHYSICAL SOC
DOI: 10.1103/PhysRevLett.115.210601
关键词
-
资金
- PSL [ANR-10-IDEX-0001-02-PSL]
Fractional Brownian motion is a non-Markovian Gaussian process X-t, indexed by the Hurst exponent H. It generalizes standard Brownian motion (corresponding to H = 1/2). We study the probability distribution of the maximum m of the process and the time t(max) at which the maximum is reached. They are encoded in a path integral, which we evaluate perturbatively around a Brownian, setting H = 1/2 + epsilon. This allows us to derive analytic results beyond the scaling exponents. Extensive numerical simulations for different values of H test these analytical predictions and show excellent agreement, even for large epsilon.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据