Langevin picture of subdiffusion with infinitely divisible waiting times
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anomalous diffusioninverse subordinatorsubdiffusionfractional Fokker-Planck equationfirst-passage timenon-Markovian dynamicsinfinitely divisible distributioncontinuous time random walksLangevin representation
Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Fractional derivatives and integrals (26A33) Stable stochastic processes (60G52) Processes in random environments (60K37) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Integral transforms in distribution spaces (46F12) Transport processes in time-dependent statistical mechanics (82C70)
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Cites work
- scientific article; zbMATH DE number 1614382 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- A renewal-process-type expression for the moments of inverse subordinators
- An Introduction to the Theory of Point Processes
- Can one see \(\alpha\)-stable variables and processes?
- Doubly stochastic Poisson processes
- Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
- Lévy-driven Langevin systems: targeted stochasticity
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
- Random walks on lattices. II
- Renewal theory and level passage by subordinators
- STATIONARITY OF DELAYED SUBORDINATORS
- Stochastic model for ultraslow diffusion
- Stochastic representation of subdiffusion processes with time-dependent drift
- Stochastic solution of space-time fractional diffusion equations
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Two-time scale subordination in physical processes with long-term memory
Cited in
(48)- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Langevin picture of subdiffusion in nonuniformly expanding medium
- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
- Langevin picture of subdiffusive particles under the joint influence of an expanding medium and an external constant force
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Option pricing in subdiffusive Bachelier model
- Parameter estimation for one-sided heavy-tailed distributions
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
- Confined random motion with Laplace and Linnik statistics
- Anomalous diffusion in nonhomogeneous media: power spectral density of signals generated by time-subordinated nonlinear Langevin equations
- Explicit form of the first-passage-time density for accelerating subdiffusion
- Subordinated diffusion and continuous time random walk asymptotics
- From diffusion to anomalous diffusion: A century after Einstein’s Brownian motion
- Fractional Klein-Kramers dynamics for subdiffusion and Itô formula
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Characterizing anomalous diffusion by studying displacements
- Black-Scholes formula in subdiffusive regime
- Feynman-Kac equation for anomalous processes with space- and time-dependent forces
- Rotational invariance of stochastic processes with application to fractional dynamics
- The tempered stable process with infinitely divisible inverse subordinators
- Relaxation patterns and semi-Markov dynamics
- Diffusion and Fokker-Planck-Smoluchowski equations with generalized memory kernel
- An elementary approach to subdiffusion
- Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
- Geometric Brownian motion with tempered stable waiting times
- From the Langevin equation to the fractional Fokker-Planck equation
- Langevin picture of Lévy walks and their extensions
- Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
- Large deviations for subordinated Brownian motion and applications
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Duality of fractional systems
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- Empirical anomaly measure for finite-variance processes
- Models for characterizing the transition among anomalous diffusions with different diffusion exponents
- Transport of magnetic bright points on the sun. Analysis of subdiffusion scenarios
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Modeling anomalous diffusion by a subordinated integrated Brownian motion
- Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
- The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Fokker-Planck equation for a metastable time dependent potential
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Equivalence of subordinated processes with tempered \(\alpha\)-stable waiting times and fractional Fokker-Planck equations in space and time dependent fields
- From particles scale to anomalous or classical convection-diffusion models with path integrals
- Moment-based estimation for parameters of general inverse subordinator
- Correlated continuous-time random walks -- scaling limits and Langevin picture
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