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Article
Probability Density of Fractional Brownian Motion and the Fractional Langevin Equation with Absorbing Walls
Journal of Statistical Mechanics: Theory and Experiment
  • Thomas Vojta, Missouri University of Science and Technology
  • Alex Warhover
Abstract

Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two geometries, (i) the spreading of particles on a semi-infinite domain with an absorbing wall at one end and (ii) the stationary state on a finite interval with absorbing boundaries at both ends and a source in the center. We demonstrate that the probability density and other properties of the fractional Langevin equation can be mapped onto the corresponding quantities of fractional Brownian motion driven by the same noise if the anomalous diffusion exponent α is replaced by 2 - α. In contrast, the properties of fractional Brownian motion and the fractional Langevin equation with reflecting boundaries were recently shown to differ from each other qualitatively. Specifically, we find that the probability density close to an absorbing wall behaves as P(x) ∼ xκ with the distance x from the wall in the long-time limit. In the case of fractional Brownian motion, κ varies with the anomalous diffusion exponent α as κ = 2/α - 1, as was conjectured previously. We also compare our simulation results to a perturbative analytical approach to fractional Brownian motion.

Department(s)
Physics
Research Center/Lab(s)
Center for High Performance Computing Research
Keywords and Phrases
  • Brownian motion,
  • diffusion,
  • stochastic processes
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2021 IOP Publishing, All rights reserved.
Publication Date
3-1-2021
Publication Date
01 Mar 2021
Disciplines
Citation Information
Thomas Vojta and Alex Warhover. "Probability Density of Fractional Brownian Motion and the Fractional Langevin Equation with Absorbing Walls" Journal of Statistical Mechanics: Theory and Experiment Vol. 2021 Iss. 3 (2021) ISSN: 1742-5468
Available at: http://works.bepress.com/thomas-vojta/158/