Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of Monte Carlo simulations. Whereas the mean-square displacement of the particle shows the expected anomalous diffusion behavior (x2) ~ tα, the interplay between the geometric confinement and the long-time memory leads to a highly non-Gaussian probability density function with a power-law singularity at the barrier. In the superdiffusive case α > 1, the particles accumulate at the barrier leading to a divergence of the probability density. For subdiffusion α < 1, in contrast, the probability density is depleted close to the barrier. We discuss implications of these findings, in particular, for applications that are dominated by rare events.
A. H. Wada and T. Vojta, "Fractional Brownian Motion with a Reflecting Wall," Physical Review E, vol. 97, no. 2, American Physical Society (APS), Feb 2018.
The definitive version is available at https://doi.org/10.1103/PhysRevE.97.020102
Keywords and Phrases
Diffusion; Diffusion barriers; Intelligent systems; Monte Carlo methods; Probability; Probability density function; Random processes; Stochastic models; Stochastic systems, Anomalous diffusion; Fractional brownian motion; Geometric confinement; Long-time correlations; Mean square displacement; Non-gaussian probability density function; Power-law singularity; Probability densities, Brownian movement
International Standard Serial Number (ISSN)
Article - Journal
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