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Brownian motion is the archetypal model for random transport processes in science and engineering. Brownian motion displays neither wild fluctuations (the “Noah effect”), nor long-range correlations (the “Joseph effect”). The quintessential model for processes displaying the Noah effect is Lévy motion, the quintessential model for processes displaying the Joseph effect is fractional Brownian motion, and the prototypical model for processes displaying both the Noah and Joseph effects is fractional Lévy motion. In this paper we review these four random-motion models–henceforth termed “fractional motions” –via a unified physical setting that is based on Langevin’s equation, the Einstein–Smoluchowski paradigm, and stochastic scaling limits. The unified setting explains the universal macroscopic emergence of fractional motions, and predicts–according to microscopic-level details–which of the four fractional motions will emerge on the macroscopic level. The statistical properties of fractional motions are classified and parametrized by two exponents—a “Noah exponent” governing their fluctuations, and a “Joseph exponent” governing their dispersions and correlations. This self-contained review provides a concise and cohesive introduction to fractional motions. 相似文献
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We derive a functional central limit theorem for quasi-Gaussian processes. In particular, we prove that the limit of the Mandelbrot–Weierstrass process is a complex fractional Brownian motion. 相似文献
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E.G. Mishchenko M. Patra C.W.J. Beenakker 《The European Physical Journal D - Atomic, Molecular, Optical and Plasma Physics》2001,13(2):289-297
A theory is presented for the frequency dependence of the power spectrum of photon current fluctuations originating from a
disordered medium. Both the cases of an absorbing medium (“grey body”) and of an amplifying medium (“random laser”) are considered
in a waveguide geometry. The semiclassical approach (based on a Boltzmann-Langevin equation) is shown to be in complete agreement
with a fully quantum mechanical theory, provided that the effects of wave localization can be neglected. The width of the
peak in the power spectrum around zero frequency is much smaller than the inverse coherence time, characteristic for black-body
radiation. Simple expressions for the shape of this peak are obtained, in the absorbing case, for waveguide lengths large
compared to the absorption length, and, in the amplifying case, close to the laser threshold.
Received 8 August 2000 相似文献
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Hagen Kleinert 《General Relativity and Gravitation》2000,32(5):769-839
I explain the geometric basis for the recently-discovered nonholonomic mapping principle which permits deriving laws of nature in spacetimes with curvature and torsion from those in flat spacetime, thus replacing and extending Einstein's equivalence principle. As an important consequence, it yields a new action principle for determining the equation of motion of a free spinless point particle in such spacetimes. Surprisingly, this equation contains a torsion force, although the action involves only the metric. This force makes trajectories autoparallel rather than geodesic, as a manifestation of inertia. A generalization of the mapping principle transforms path integrals from flat spacetimes to those with curvature and torsion, thus playing the role of a quantum equivalence principle. This generalization yields consistent results only for completely antisymmetric or for gradient torsion. 相似文献
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