Ergodic Properties of Fractional Brownian-Langevin Motion

Details Ergodic Properties of Fractional Brownian-Langevin Motion Ergodic Properties of Fractional Brownian-Langevin Motion

2008-09-15

arxiv.org/abs/0809.2430v1

Phys.Rev.E79:011112,2009

Physics

Data Analysis, Statistics and Probability

8 pages, 6 figures

Scientific paper

10.1103/PhysRevE.79.011112

We investigate the time average mean square displacement $\overline{\delta^2}(x(t))=\int_0^{t-\Delta}[x(t^\prime+\Delta)-x(t^\prime)]^2 dt^\prime/(t-\Delta)$ for fractional Brownian and Langevin motion. Unlike the previously investigated continuous time random walk model $\overline{\delta^2}$ converges to the ensemble average $ \sim t^{2 H}$ in the long measurement time limit. The convergence to ergodic behavior is however slow, and surprisingly the Hurst exponent $H=3/4$ marks the critical point of the speed of convergence. When $H<3/4$, the ergodicity breaking parameter ${EB} = {Var} (\overline{\delta^2}) / < \overline{\delta^2} >^2\sim k(H) \cdot\Delta\cdot t^{-1}$, when $H=3/4$, ${EB} \sim (9/16)(\ln t) \cdot\Delta \cdot t^{-1}$, and when $3/4

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