The role of conditional probability in multi-scale stationary Markovian processes

TL;DR

This paper investigates how increasing the number of time-scales in stationary Markovian processes influences their conditional probability and first passage times, revealing that more time-scales lead to greater persistence and slower dynamics.

Contribution

It provides a detailed analysis of the impact of multiple time-scales on the conditional probability and first passage times in Gaussian Markov processes, highlighting the role of power-law correlations.

Findings

Power-law correlated processes exhibit slow decay of persistence.

More time-scales increase the mean First Passage Time for large distances.

Infinite and unbounded time-scales are necessary but not sufficient for slow decay.

Abstract

The aim of the paper is to understand how the inclusion of more and more time-scales into a stochastic stationary Markovian process affects its conditional probability. To this end, we consider two Gaussian processes: (i) a short-range correlated process with an infinite set of time-scales bounded from below, and (ii) a power-law correlated process with an infinite and unbounded set of time-scales. For these processes we investigate the equal position conditional probability P(x,t|x,0) and the mean First Passage Time T(L). The function P(x,t|x,0) can be considered as a proxy of the persistence, i.e. the fact that when a process reaches a position x then it spends some time around that position value. The mean First Passage Time can be considered as a proxy of how fast is the process in reaching a position at distance L starting from position x. In the first investigation we show that the more time-scales the process includes, the larger the persistence. Specifically, we show that the power-law correlated process shows a slow power-law decay of P(x,t|x,0) to the stationary pdf. By contrast, the short range correlated process shows a decay dominated by an exponential cut-off. Moreover, we also show that the existence of an infinite and unbouded set of time-scales is a necessary and not sufficient condition for observing a slow power-law decay of P(x,t|x,0). In the second investigation, we show that for large values of L the more time-scales the process includes, the larger the mean First Passage Time, i.e. the slowest the process. On the other hand, for small values of L, the more time-scales the process includes, the smaller the mean First Passage Time, i.e. when a process statistically spends more time in a given position the likelihood that it reached nearby positions by chance is also enhanced.