2018
DOI: 10.1103/physreve.97.020102
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Fractional Brownian motion with a reflecting wall

Abstract: 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 〈x^{2}〉∼t^{α}, the interplay between the geometric confinement and the long-time memory leads to a highly non-Gaussian probability density function with… Show more

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Cited by 50 publications
(69 citation statements)
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References 41 publications
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“…6). The density distribution patterns varied dramatically across the three diffusion regimes, as anticipated (Wada and Vojta, 2018). However, they were robust within the superdiffusion regime, suggesting that the results can be safely generalized to other H values, beyond the one that was used in the simulations (0.8).…”
Section: Resultssupporting
confidence: 61%
See 1 more Smart Citation
“…6). The density distribution patterns varied dramatically across the three diffusion regimes, as anticipated (Wada and Vojta, 2018). However, they were robust within the superdiffusion regime, suggesting that the results can be safely generalized to other H values, beyond the one that was used in the simulations (0.8).…”
Section: Resultssupporting
confidence: 61%
“…A particularly important problem for biological sciences is the behavior of FBM in bounded domains (e.g., in two-or three-dimensional shapes). Reflected BM is well understood (Ito and McKean, 1965), but it is not until very recently that the first description of the properties of reflected FBM (rFBM) have become available, in onedimensional domains (Wada and Vojta, 2018;Guggenberger et al, 2019;Wada et al, 2019). The present study is the first application of this theoretical framework to serotonergic fiber distributions, on the whole-brain scale.…”
Section: Introductionmentioning
confidence: 92%
“…Motivated by a recent study of FBM in a semi-infinite interval with a reflecting boundary at the origin [46], we here investigate by extensive simulations FBM confined to a finite interval with reflecting boundary conditions. The central result is that the naively expected constant amplitude 1/L in an interval of length L in the stationary limit for Brownian motion is replaced by a solution for FBM in which the amplitude closer to the boundaries is decreased or increased for subdiffusive and superdiffusive FBM.…”
Section: Introductionmentioning
confidence: 99%
“…This is consistent with the toy model results, suggesting that the simple fact that a particle observed near a boundary necessarily has a biased history will introduce these depletion effects. Furthermore, it suggests that super-diffusion, where motion increments are positively correlated, would be expected to introduce a commensurate boundary enrichment, as observed in [23] for FBM.…”
Section: 2mentioning
confidence: 83%
“…They have again however focused primarily on the statistical analysis of particle paths to investigate, for example, the effects of confinement on ergodicity. A more recent investigation [23] has shown confinement of particles undergoing FBM can have significant consequences on their spatial distribution. This study however focused on transient rather than steady state dynamics and studied those dynamics on an unbounded domain (half line).…”
Section: Introductionmentioning
confidence: 99%