Power Brownian motion

Abstract

Brownian motion (BM) is the archetypal model of regular diffusion. BM is a Gaussian and Markov process, whose increments are stationary, and whose non-overlapping increments are independent. Elevating from regular diffusion to anomalous diffusion, fractional Brownian motion (FBM) and scaled Brownian motion (SBM) are arguably the two most popular Gaussian anomalous-diffusion models. Each of these two models maintains some BM properties, abandons other, and displays certain anomalous behaviors. This paper explores a Gaussian anomalous-diffusion model—Power Brownian Motion (PBM)—that is attained by a coupled amplitudal and temporal ‘tinkering’ with BM. The PBM model combines ‘the better of FBM and SBM’. Indeed, as FBM, PBM displays the anomalous behaviors of persistence and anti-persistence. And, as SBM, PBM is a Markov process that displays the anomalous behaviors of aging and anti-aging. On their own, neither FBM nor SBM can provide the ‘features package’ that PBM provides. The PBM ‘features package’ on the one hand, and its simple construction on the other hand, render PBM a compelling anomalous-diffusion model.