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arXiv 1806.03435cond-mat.stat-mech
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具有随机重置的分数阶布朗运动的谱容

Spectral content of fractional Brownian motion with stochastic reset

Satya N Majumdar, Gleb Oshanin

摘要:

我们分析的功率谱密度(PSD)$S_T(f)$($T$是观察时间和$f$是频率)的分数布朗运动(fBM),与任意赫斯特指数$H \in (0,1)$,经历一个随机复位到原点在一个恒定的速率$r$ -复位过程介绍了一段时间前作为一个高效的,可优化的搜索算法的例子。为此,我们首先推导出一个精确的表达式的协方差函数的任意(不一定是一个fBm)的过程与复位,表示它通过协方差函数的父过程没有复位,这产生所需的结果,在特定情况下的fBm。然后,我们使用这个结果来精确计算所有频率$f$的fBM的功率谱密度。对于亚$(H < 1/2)$和超扩散$(H > 1/2)$ fBms,PSD的渐近、大频率$f$行为被证明是明显不同的。我们发现,对于大的$f$,PSD具有幂律尾部:$S_T(f) \sim 1/f^γ$,其中指数$γ= 2H+1$为$0<H\le 1/2$(次扩散fBM),而$γ= 2$为所有$1/2\le H<1$。因此,有些出乎意料的是,在超扩散情况下的指数$γ=2$ $H>1/2$坚持其布朗值,不依赖于$H$。

英文摘要:

We analyse the power spectral density (PSD) $S_T(f)$ (with $T$ being the observation time and $f$ is the frequency) of a fractional Brownian motion (fBm), with an arbitrary Hurst index $H \in (0,1)$, undergoing a stochastic resetting to the origin at a constant rate $r$ - the resetting process introduced some time ago as an example of an efficient, optimisable search algorithm. To this end, we first derive an exact expression for the covariance function of an arbitrary (not necessarily a fBm) process with a reset, expressing it through the covariance function of the parental process without a reset, which yields the desired result for the fBm in a particular case. We then use this result to compute exactly the power spectral density for fBM for all frequency $f$. The asymptotic, large frequency $f$ behaviour of the PSD turns out to be distinctly different for sub- $(H < 1/2)$ and super-diffusive $(H > 1/2)$ fBms. We show that for large $f$, the PSD has a power law tail: $S_T(f) \sim 1/f^γ$ where the exponent $γ= 2H+1$ for $0<H\le 1/2$ (sub-diffusive fBm), while $γ= 2$ for all $1/2\le H<1$. Thus, somewhat unexpectedly, the exponent $γ=2$ in the superdiffusive case $H>1/2$ sticks to its Brownian value and does not depend on $H$.

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