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arXiv · 1102.3633

First passage behaviour of fractional Brownian motion in two-dimensional wedge domains

J. -H. Jeon·A. V. Chechkin·R. Metzler
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Abstract

We study the survival probability and the corresponding first passage time density of fractional Brownian motion confined to a two-dimensional open wedge domain with absorbing boundaries. By analytical arguments and numerical simulation we show that in the long time limit the first passage time density scales as t**{-1+pi*(2H-2)/(2*Theta)} in terms of the Hurst exponent H and the wedge angle Theta. We discuss this scaling behaviour in connection with the reaction kinetics of FBM particles in a one-dimensional domain.

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J. -H. Jeon, A. V. Chechkin, R. Metzler. 2011-02-17. First passage behaviour of fractional Brownian motion in two-dimensional wedge domains. https://doi.org/10.1209/0295-5075%2F94%2F20008

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