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Single-trajectory spectral analysis of scaled Brownian motion
A standard approach to study time-dependent stochastic processes is the power spectral density (PSD), an ensemble-averaged property defined as the Fourier transform of the autocorrelation function of the process in the ...
Fractional Brownian motion in a finite interval: correlations effect depletion or accretion zones of particles near boundaries
Fractional Brownian motion (FBM) is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically FBM confined to a finite ...