Path-integrals and optimal paths for the fractional Ornstein-Uhlenbeck process

TL;DR

This paper develops a path-integral framework for the fractional Ornstein-Uhlenbeck process driven by fractional Gaussian noise, deriving explicit forms of the action and optimal paths in both subdiffusive and superdiffusive regimes.

Contribution

It introduces a novel path-integral representation and explicit formulas for optimal paths of the fractional Ornstein-Uhlenbeck process, including nonlocal action forms and closed-form solutions.

Findings

Explicit path-integral representation for fractional Ornstein-Uhlenbeck process

Closed-form optimal paths conditioned on fixed endpoints

Non-intuitive behavior of optimal paths in subdiffusive regime

Abstract

We derive the path-integral representation of the fractional Ornstein-Uhlenbeck process driven by Riemann-Liouville fractional Gaussian noise, for both the subdiffusive and superdiffusive regimes. We express the corresponding action, which is a quadratic functional of individual trajectories of the process, in two alternative but equivalent forms: either as a fractional integral or as a double integral with a nonlocal kernel. Moreover, we determine in closed form the optimal (action-minimizing) paths conditioned to reach a prescribed point at a fixed time moment and discuss their behavior, which appears to be non-intuitive for subdiffusive processes in the presence of a strong confining potential.