Sampling fractional Brownian motion in presence of absorption: a Markov chain method

Alexander K. Hartmann 1, Satya N. Majumdar 2, Alberto Rosso 2

Physical Review E 88 (2013) 022119

We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a large number of 10^7 time steps even for small values like H=1/4. The results are compatible with previous analytical results that the distribution of (rescaled) endpoints y follow a power law P(y) y^\phi with \phi=(1-H)/H, even for small values of H. Furthermore, for the case H=0.5 we also study analytically the finite-length corrections to the first order, namely a plateau of P(y) for y->0 which decreases with increasing process length. These corrections are compatible with the numerical results.

  • 1 : Institute of Physics
    University of Oldenburg
  • 2 : Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS)
    CNRS : UMR8626 – Université Paris XI - Paris Sud