Universal Excursion and Bridge shapes in ABBM/CIR/Bessel processes
arXiv:2104.04504 · doi:10.1088/1742-5468/ac1404
Abstract
Several years ago, in the context of the physics of hysteresis in magnetic materials, a simple stochastic model has been introduced: the ABBM model. Later, the ABBM model has been advocated as a paradigm for a broad class of diverse phenomena, baptised "crackling noise phenomena". The model reproduces many statistical features of such intermittent signals, as the statistics of burst (or avalanche) durations and sizes, with their power law exponents that would characterise the dynamics as critical. Beyond such "critical exponents", the measure of the average shape of the avalanche has also been proposed. Here, the exact calculation of average and fluctuations of the avalanche shape for the ABBM model is presented, showing that its normalised shape is independent from the external drive. Moreover, average and fluctuations of the multi-avalanche shape, that is a sequence of avalanches of fixed total duration, is also computed. Surprisingly, the two quantities (avalanche and multi-avalanche normalised shapes) are identical. This result is obtained using the exact solution of the ABBM model, obtained leveraging the equivalence with the Cox-Ingersoll-Ross process (CIR), through an exact "time change". A presentation of this and other known exact results is provided: notably the correspondence of the ABBM/CIR model with the generalised Bessel process, describing the dynamics of the modulus of the multi dimensional Ornstein-Uhlenbeck process. As a consequence, the correspondence between the excursion (avalanche) and bridge (multi-avalanche) shape distributions, turns to apply to all the aforementioned stochastic processes. In simple words: considering the distance from the origin of such diffusive particles, the (normalised) average shape (and fluctuations) of its trajectory until a return in a time T is the same, whether it has returned before T or not.
arXiv comment30 pages, 7 figures. Revised version to appear in Jstat
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