Ergodic properties of anomalous diffusion processes

DOI10.1016/J.AOP.2011.04.015MaRDI QIDQ719708zbMATH OpenOpenAlexFDO

Authors Marcin Magdziarz, Aleksander Weron

Publication date 11 October 2011

Published in Annals of Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aop.2011.04.015

zbMATH Keywords

ergodicityOrnstein-Uhlenbeck processmixinganomalous diffusionfractional Fokker-Planck equationKhinchin theorem

Mathematics Subject Classification ID

Diffusion processes (60J60) Ergodicity, mixing, rates of mixing (37A25) Fractional derivatives and integrals (26A33) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Recommendations

• scientific article; zbMATH DE number 2196071
• Anomalous diffusion: deterministic and stochastic perspectives
• Ergodicity of Finite-Energy Diffusions
• scientific article; zbMATH DE number 1301639
• Anomalous diffusion: temporal non-Markovianity and weak ergodicity breaking
• Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
• Conditions of the anomalous diffusion in stochastic systems
• Anomalous diffusion on finite interval

Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3423366 (Why is no real title available?)
• scientific article; zbMATH DE number 3143967 (Why is no real title available?)
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1038620 (Why is no real title available?)
• scientific article; zbMATH DE number 806335 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3261539 (Why is no real title available?)
• scientific article; zbMATH DE number 3070778 (Why is no real title available?)
• A Note on Maruyama's Mixing Theorem
• Aging and nonergodicity beyond the Khinchin theorem
• Chaos, fractals, and noise: Stochastic aspects of dynamics.
• Correlation cascades, ergodic properties and long memory of infinitely divisible processes
• Ergodic properties of stationary stable processes
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Fractional {O}rnstein-{U}hlenbeck processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Note on two theorems in nonequilibrium statistical mechanics
• On the ergodicity of a certain stationary process
• Semi-Stable Stochastic Processes
• Simple conditions for mixing of infinitely divisible processes
• Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
• Stochastic processes and statistical inference
• Subordinated diffusion and continuous time random walk asymptotics
• THE MIXING PROPERTY OF GAUSSIAN FLOWS
• Tempering stable processes
• The equivalence of ergodicity and weak mixing for infinitely divisible processes
• The foundational role of ergodic theory
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Transport, Collective Motion, and Brownian Motion
• Why Irreversibility Is Not a Sufficient Condition for Ergodicity

Cited in

(34)

• Asymptotic theory for the detection of mixing in anomalous diffusion
• Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
• On operator fractional Lévy motion: integral representations and time-reversibility
• Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
• Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
• Option pricing in subdiffusive Bachelier model
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• scientific article; zbMATH DE number 2196071 (Why is no real title available?)
• Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes
• Lamperti transformation of scaled Brownian motion and related Langevin equations
• Discriminating Gaussian processes via quadratic form statistics
• Random time averaged diffusivities for Lévy walks
• Multi-sensitivity, syndetical sensitivity and the asymptotic average- shadowing property for continuous semi-flows
• Chaos in a topologically transitive semi-flow
• Weakly driven anomalous diffusion in non-ergodic regime: an analytical solution
• Empirical anomaly measure for finite-variance processes
• Fractionally integrated inverse stable subordinators
• Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
• Some families of random fields related to multiparameter Lévy processes
• Energy characteristics of the anomalous diffusion process
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Ergodic properties of Lévy flights coexisting with subdiffusion and related models
• A note on decay of correlation implies chaos in the sense of Devaney
• Is it Brownian or fractional Brownian motion?
• A Fokker-Planck control framework for stochastic systems
• Asymptotic properties of Brownian motion delayed by inverse subordinators
• Phase diagram in stored-energy-driven Lévy flight
• The Poisson aggregation process
• Anomalous diffusion: temporal non-Markovianity and weak ergodicity breaking
• The role of ergodicity in anomalous stochastic processes: analysis of single-particle trajectories
• The stretched exponential behavior and its underlying dynamics. The phenomenological approach
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Lamperti transformation -- cure for ergodicity breaking
• How random is a random vector?

This page was built for publication: Ergodic properties of anomalous diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q719708)