Winding of planar Gaussian processes

DOI10.1088/1742-5468/2009/07/P07012zbMATH Open1459.82107arXiv0904.0582OpenAlexW2013490628MaRDI QIDQ3301073FDOQ3301073

Yoav Etzioni, Baruch Horovitz, Pierre Le Doussal

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: We consider a smooth, rotationally invariant, centered gaussian process in the plane, with arbitrary correlation matrix $C_{t{t}^{\prime }}$. We study the winding angle $ph{i}_t$ around its center. We obtain a closed formula for the variance of the winding angle as a function of the matrix $C_{t{t}^{\prime }}$. For most stationary processes $C_{t{t}^{\prime }}=C(t-t^{\prime })$ the winding angle exhibits diffusion at large time with diffusion coefficient $D=in{t}_0^{i}nftyds{C}^{\prime }(s{)}^2/(C(0{)}^2-C(s{)}^2)$. Correlations of $exp(inph{i}_t)$ with integer $n$, the distribution of the angular velocity $dotph{i}_t$, and the variance of the algebraic area are also obtained. For smooth processes with stationary increments (random walks) the variance of the winding angle grows as $1/2(lnt{)}^2$, with proper generalizations to the various classes of fractional Brownian motion. These results are tested numerically. Non integer $n$ is studied numerically.

Full work available at URL: https://arxiv.org/abs/0904.0582

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zbMATH Keywords

diffusionexact resultsstochastic processes (theory)

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Brownian motion (60J65)

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Cited In (2)

• Winding number for stationary Gaussian processes using real variables
• The winding of stationary Gaussian processes

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