Statistics of the occupation time for a class of Gaussian Markov processes

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, , Citation G De Smedt et al 2001 J. Phys. A: Math. Gen. 34 1247 DOI 10.1088/0305-4470/34/7/303

0305-4470/34/7/1247

Abstract

We revisit the work of Dhar and Majumdar (1999 Phys. Rev. E 59 6413) on the limiting distribution of the temporal mean Mt = t-10tdu sign yu, for a Gaussian Markovian process yt depending on a parameter α, which can be interpreted as Brownian motion in the time scale t' = t. This quantity, the mean `magnetization', is simply related to the occupation time of the process, that is the length of time spent on one side of the origin up to time t. Using the fact that the intervals between sign changes of the process form a renewal process on the time scale t', we determine recursively the moments of the mean magnetization. We also find an integral equation for the distribution of Mt. This allows a local analysis of this distribution in the persistence region (Mt→±1), as well as its asymptotic analysis in the regime where α is large. Finally, we put the results thus found in perspective with those obtained by Dhar and Majumdar by another method, based on a formalism due to Kac.

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10.1088/0305-4470/34/7/303