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Sampling fractional Brownian motion in presence of absorption: a Markov Chain method (1303.1648v3)
Published 7 Mar 2013 in cond-mat.stat-mech and physics.comp-ph
Abstract: We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a large number of 107 time steps even for small values like H=1/4. The results are compatible with previous analytical results that the distribution of (rescaled) endpoints y follow a power law P(y) y\phi with \phi=(1-H)/H, even for small values of H. Furthermore, for the case H=0.5 we also study analytically the finite-length corrections to the first order, namely a plateau of P(y) for y->0 which decreases with increasing process length. These corrections are compatible with the numerical results.