First passage behaviour of fractional Brownian motion in two-dimensional wedge domains
Statistical Mechanics
2015-05-27 v1
Abstract
We study the survival probability and the corresponding first passage time density of fractional Brownian motion confined to a two-dimensional open wedge domain with absorbing boundaries. By analytical arguments and numerical simulation we show that in the long time limit the first passage time density scales as t**{-1+pi*(2H-2)/(2*Theta)} in terms of the Hurst exponent H and the wedge angle Theta. We discuss this scaling behaviour in connection with the reaction kinetics of FBM particles in a one-dimensional domain.
Keywords
Cite
@article{arxiv.1102.3633,
title = {First passage behaviour of fractional Brownian motion in two-dimensional wedge domains},
author = {J. -H. Jeon and A. V. Chechkin and R. Metzler},
journal= {arXiv preprint arXiv:1102.3633},
year = {2015}
}
Comments
6 pages, 4 figures