Small values of the maximum for the integral of fractional Brownian motion

被引:20
作者
Molchan, G
Khokhlov, A
机构
[1] Observ Cote Azur, CNRS, UMR 6529, F-06304 Nice 4, France
[2] RAS, Int Inst Earthquake Predict Theory & Math Geophys, Moscow 117556, Russia
关键词
fractional Brownian motion; Burgers equation; fractality; long excursions;
D O I
10.1023/B:JOSS.0000012512.18060.a5
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
We consider the integral of fractional Brownian motion (IFBM) and its functionals xi(T) on the intervals (0, T) and (- T, T) of the following types: the maximum M(T), the position of the maximum, the occupation time above zero etc. We show how the asymptotics of P(xi(T) < 1)= p(T), T --> infinity, is related to the Hausdorff dimension of Lagrangian regular points for the inviscid Burgers equation with FBM initial velocity. We produce computational evidence in favor of a power asymptotics for p(T). The data do not reject the hypothesis that the exponent h of the power law is related to the similarity parameter H of fractional Brownian motion as follows: theta=-(1- H) for the interval (- T, T) and theta=- H(1- H) for (0, T). The point 0 is special in that IFBM and its derivative both vanish there.
引用
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页码:923 / 946
页数:24
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