Memory-multi-fractional Brownian motion with continuous correlations

Abstract

We propose a generalization of the widely used fractional Brownian motion (FBM), memory-multi-FBM (MMFBM), to describe viscoelastic or persistent anomalous diffusion with time-dependent memory exponent $\alpha (t)$ in a changing environment. In MMFBM the built-in, long-range memory is continuously modulated by $\alpha (t)$. We derive the essential statistical properties of MMFBM such as response function, mean-squared displacement (MSD), autocovariance function, and Gaussian distribution. In contrast to existing forms of FBM with time-varying memory exponents but reset memory structure, the instantaneous dynamic of MMFBM is influenced by the process history, e.g., we show that after a step-like change of $\alpha (t)$ the scaling exponent of the MSD after the $\alpha$-step may be determined by the value of $\alpha (t)$ before the change. MMFBM is a versatile and useful process for correlated physical systems with non-equilibrium initial conditions in a changing environment.

15 pages, 10 figures, RevTeX