The longest excursion of fractional Brownian motion : numerical evidence of non-Markovian effects

Abstract

We study, using exact numerical simulations, the statistics of the longest excursion l_{\max}(t) up to time t for the fractional Brownian motion with Hurst exponent 0<H<1. We show that in the large t limit, < l_{\max}(t) > \propto Q_\infty t where Q_\infty \equiv Q_\infty(H) depends continuously on H, and in a non trivial way. These results are compared with exact analytical results obtained recently for a renewal process with an associated persistence exponent θ= 1-H. This comparison shows that Q_\infty(H) carries the clear signature of non-Markovian effects for H\neq 1/2. The pre-asymptotic behavior of < l_{\max}(t)> is also discussed.

4 pages, 4 figures

References in corpus (3)

• Asymptotic behavior of self-affine processes in semi-infinite domains
• Persistence in nonequilibrium surface growth
• The longest excursion of stochastic processes in nonequilibrium systems

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