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Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries
Perturbation Theory Presence of Absorbing Boundaries
2010/11/25
Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations
hx(t1)x(t2)i = Dt2H 1 + t2H 2 jt1 t2j2H, where H, with 0 < H < 1 is called the Hu...