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Fractional Brownian motion with complex variance via random walk in the complex plane and applications
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    Fractional Brownian motion with complex variance via random walk in the complex plane and applications (English)
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    9 August 2000
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    Let \(\omega_k(n)\), \(k= 0,\dots,n-1\), denote the complex roots of the unity, \(R_k(n)\in C\) be the random variables taking on the values \(\omega_k(n)\), \(k= 0,\dots, n-1\), with probabilities \(p_0= p_1=\cdots= p_{n-1}= 1/n\), and let random variables \(w_k\) have a distribution \(P\{w_k=\Delta z\}= P\{w_k= -\Delta z\}= 1/2\), where \(\Delta z=\Delta x+ i\Delta y\). One of the presented results is as follows. If \(\lim_{\Delta t\downarrow 0} (\Delta z)^n/\Delta t= \sigma^n\), where \(\sigma\in C\), then the limit of the random walk defined by the equation \(z_{j+ 1}= z_j+ R_jw_j\) is a complex-valued stochastic process with probability density \(p(z,t)\) which is the solution of the heat equation \[ {\partial p(z,t)\over\partial t}= (-1)^n{\sigma^n\over n!} {\partial^np(z,t)\over\partial z^n},\qquad z\in C. \] The general expression of \(p(z,t)\) is obtained.
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