A Dynamical Approach to Fractional Brownian Motion

Mannella, Riccardo and Grigolini, P and West, BJ (1993) A Dynamical Approach to Fractional Brownian Motion. arXiv .

Abstract

SUMMARY Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is applicable, we establish a connection between diffusion (either standard or anomalous) and the dynamical indicator known as the Hurst coefficient. We argue on the basis of numerical simulations that although we have been able to prove scaling only for "Gaussian" processes, our conclusions may well apply to a wider class of systems. On the other hand systems exist for which scaling might not hold, so we speculate on the possible consequence on the various relations derived in the paper on such systems.

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