Persistence exponents and the statistics of crossings and occupation times for Gaussian stationary processes.
We consider the persistence probability, the occupation-time distribution, and the distribution of the number of zero crossings for discrete or (equivalently) discretely sampled Gaussian stationary processes (GSPs) of zero mean. We first consider the Ornstein-Uhlenbeck process, finding expressions for the mean and variance of the number of crossings and the "partial survival" probability. We then elaborate on the correlator expansion developed in an earlier paper [G. C. M. A. Ehrhardt and A. J. Bray, Phys. Rev. Lett. 88, 070602 (2002)] to calculate discretely sampled persistence exponents of GSPs of known correlator by means of a series expansion in the correlator. We apply this method to the processes d(n)x/dt(n)=eta(t) with n>/=3, incorporating an extrapolation of the series to the limit of continuous sampling. We then extend the correlator method to calculate the occupation-time and crossing-number distributions, as well as their partial-survival distributions and the means and variances of the occupation time and number of crossings. We apply these general methods to the d(n)x/dt(n)=eta(t) processes for n=1 (random walk), n=2 (random acceleration), and larger n, and to simple diffusion from random initial conditions in one to three dimensions. The results for discrete sampling are extrapolated to the continuum limit where possible.
Department of Physics and Astronomy, University of Manchester, Manchester M13 9PL, United Kingdom.
G C M A
GC
Ehrhardt
Satya N
SN
Majumdar
Alan J
AJ
Bray