Data di Pubblicazione:
2010
Abstract:
We study the regression to the origin of a walker driven by dynamically generated fractional Brownian motion (FBM) and we prove that when the FBM scaling, i.e., the Hurst exponent H<1/3, the emerging inverse power law is characterized by a power index that is a compelling signature of the infinitely extended memory of the system. Strong memory effects leads to the relation H=θ/2 between the Hurst exponent and the persistent exponent θ, which is different from the widely used relation H=1−θ. The latter is valid for 1/3
Tipologia CRIS:
Articolo su Rivista
Keywords:
fractional brownian motion; Hurst; power law
Elenco autori:
Mauro, Bologna; Vanni, F; Arkadii, Krokhin; Paolo, Grigolini2
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