Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries

Kay Jörg Wiese 1, Satya N. Majumdar 2, Alberto Rosso 2

Physical Review E 83 (2011) 061141

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0 0 (near the absorbing boundary), while R(y) ~ y^gamma exp(-y^2/2) as y -> oo, with phi = 1 - 4 epsilon + O(epsilon^2) and gamma = 1 - 2 epsilon + O(epsilon^2). Our epsilon-expansion result confirms the scaling relation phi = (1-H)/H proposed in Ref. [28]. We verify our findings via numerical simulations for H = 2/3. The tools developed here are versatile, powerful, and adaptable to different situations.

  • 1. Laboratoire de Physique Théorique de l'ENS (LPTENS),
    CNRS : UMR8549 – Université Paris VI - Pierre et Marie Curie – Ecole Normale Supérieure de Paris - ENS Paris
  • 2. Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS),
    CNRS : UMR8626 – Université Paris XI - Paris Sud