Long-range correlated stationary Markovian processes
arXiv:cond-mat/0203442
Abstract
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation of the process into a Schrodinger equation with an appropriate quantum potential we determine the asymptotic behavior of the autocorrelation function of the process in an analytical way. We find the conditions needed to observe a stationary long-range correlated Markovian process. In the presence of long-range correlation, for selected values of the control parameters, the process has a 1/f-like spectral density for low frequency values.
4 pages