Longest excursion of fractional Brownian motion: numerical evidence of non-Markovian effects.
Phys Rev E Stat Nonlin Soft Matter Phys
; 81(1 Pt 1): 010102, 2010 Jan.
Article
em En
| MEDLINE
| ID: mdl-20365309
We study, using exact numerical simulations, the statistics of the longest excursion l(max)(t) up to time t for the fractional Brownian motion with Hurst exponent 0 proportional to variantQ(infinity)t, where Q(infinity) identical with Q(infinity)(H) depends continuously on H. These results are compared with exact analytical results for a renewal process with an associated persistence exponent theta=1-H. This comparison shows that Q(infinity)(H) carries the clear signature of non-Markovian effects for H not equal 1/2. The preasymptotic behavior of is also discussed.
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01-internacional
Base de dados:
MEDLINE
Idioma:
En
Revista:
Phys Rev E Stat Nonlin Soft Matter Phys
Assunto da revista:
BIOFISICA
/
FISIOLOGIA
Ano de publicação:
2010
Tipo de documento:
Article
País de afiliação:
Argentina
País de publicação:
Estados Unidos