On the wavelet-based simulation of anomalous diffusion

DOI10.1080/00949655.2012.722220zbMath1474.60232arXiv1202.4437OpenAlexW2163803555MaRDI QIDQ5219934

Gustavo Didier, John Fricks

Publication date: 9 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4437

zbMATH Keywords

waveletssimulationanomalous diffusionfractional Ornstein-Uhlenbeck processgeneralized Langevin equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stationary stochastic processes (60G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (1)

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Uses Software

• wmtsa

Cites Work

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