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On the Radius of Self-Repellent Fractional Brownian Motion

  • Le Chen,
  • Sefika Kuzgun,
  • Carl Mueller,
  • Panqiu Xia

摘要

We study the radius of gyration \(R_T\) R T of a self-repellent fractional Brownian motion \(\left\{ B^H_t\right\} _{0\le t\le T}\) B t H 0 t T taking values in \(\mathbb {R}^d\) R d . Our sharpest result is for \(d=1\) d = 1 , where we find that with high probability, \(\begin{aligned} R_T \asymp T^\nu , \quad \text {with }\quad \nu =\frac{2}{3}\left( 1+H\right) . \end{aligned}\) R T T ν , with ν = 2 3 1 + H . For \(d>1\) d > 1 , we provide upper and lower bounds for the exponent \(\nu \) ν , but these bounds do not match.