Functionals of fractional Brownian motion and the three arcsine laws

Abstract

Fractional Brownian motion is a non-Markovian Gaussian process indexed by the Hurst exponent $H\in [0,1]$, generalising standard Brownian motion to account for anomalous diffusion. Functionals of this process are important for practical applications as a standard reference point for non-equilibrium dynamics. We describe a perturbation expansion allowing us to evaluate many non-trivial observables analytically: We generalize the celebrated three arcsine-laws of standard Brownian motion. The functionals are: (i) the fraction of time the process remains positive, (ii) the time when the process last visits the origin, and (iii) the time when it achieves its maximum (or minimum). We derive expressions for the probability of these three functionals as an expansion in $\epsilon =H-\frac{1}{2}$, up to second order. We find that the three probabilities are different, except for $H=\frac{1}{2}$ where they coincide. Our results are confirmed to high precision by numerical simulations.

arXiv comment50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox.com/s/jcgcjs5u2kfh4fm/SupplementalNotebook.nb?dl=0

References in corpus (17)

• In vivo anomalous diffusion and weak ergodicity breaking of lipid granules
• Persistence exponents for fluctuating interfaces
• Airy Distribution Function: From the Area Under a Brownian Excursion to the Maximal Height of Fluctuating Interfaces
• Foundation of Fractional Langevin Equation: Harmonization of a Many Body Problem
• Mean first-passage times of non-Markovian random walkers in confinement
• Safe Leads and Lead Changes in Competitive Team Sports
• Generalized arcsine laws for fractional Brownian motion
• Asymptotic behavior of self-affine processes in semi-infinite domains
• Fractional Brownian motion approach to polymer translocation: the governing equation of motion
• Residence Time Distribution for a Class of Gaussian Markov Processes
• Extreme-Value Statistics of Fractional Brownian Motion Bridges
• Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries
• The Maximum of a Fractional Brownian Motion: Analytic Results from Perturbation Theory
• Perturbative Expansion for the Maximum of Fractional Brownian Motion
• First passage in an interval for fractional Brownian motion
• Dynamics of a tagged monomer: Effects of elastic pinning and harmonic absorption
• Sampling first-passage times of fractional Brownian Motion using adaptive bisections