Temporal correlations of the running maximum of a Brownian trajectory

DOI10.1103/PHYSREVLETT.117.080601MaRDI QIDQ6270720zbMATH OpenWikidataFDO

Authors O. Bénichou, P. L. Krapivsky, Carlos Mejía-Monasterio, Gleb Oshanin

Publication date 22 February 2016

Abstract: We study the correlations between the maxima

m

and

M

of a Brownian motion (BM) on the time intervals

[0, t_{1}]

and

[0, t_{2}]

, with

t_{2} > t_{1}

. We determine exact forms of the distribution functions

P (m, M)

and

P (G = M - m)

, and calculate the moments

m a t h b b E l e f t (M - m i g h t)^{k}

and the cross-moments

m a t h b b E m^{l} M^{k}

with arbitrary integers

l

and

k

. We show that correlations between

m

and

M

decay as

s q r t t_{1} / t_{2}

when

t_{2} / t_{1} o i n f t y

, revealing strong memory effects in the statistics of the BM maxima. We also compute the Pearson correlation coefficient

h o (m, M)

, the power spectrum of

M_{t}

, and we discuss a possibility of extracting the ensemble-averaged diffusion coefficient in single-trajectory experiments using a single realization of the maximum process.

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