Ergodic properties of functionals of Gaussian processes
arXiv:2604.15952 · doi:10.1103/qpkk-mgt6
Abstract
We derive the first two moments of generic positive stochastic functionals in terms of the one- and two-time probability density functions of the underlying random walk, and we prove ergodicity of observables in stationary random walks. These general results are applied to the half-occupation time and the occupation time in an interval of a Gaussian random walk, for which we obtain exact analytic expressions for the first two moments. We then extend the analysis to scaled Brownian motion and fractional Brownian motion, computing the ergodicity breaking parameter and establishing a simple scaling form for the probability densities of occupation times. Within the framework of infinite ergodic theory, we further identify universal properties of positive observables. All analytical predictions are fully confirmed by numerical simulations.
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