Langevin picture of subdiffusion with infinitely divisible waiting times
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Publication:2390967
DOI10.1007/S10955-009-9751-ZzbMATH Open1177.82101OpenAlexW2128623506MaRDI QIDQ2390967FDOQ2390967
Publication date: 10 August 2009
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-009-9751-z
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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Cited In (44)
- 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
- Confined random motion with Laplace and Linnik statistics
- 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
- 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
- From diffusion to anomalous diffusion: A century after Einstein’s Brownian motion
- Correlated continuous-time random walks—scaling limits and Langevin picture
- Characterizing anomalous diffusion by studying displacements
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Black-Scholes formula in subdiffusive regime
- 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
- 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
- Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
- From the Langevin equation to the fractional Fokker-Planck equation
- Langevin picture of Lévy walks and their extensions
- 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
- Empirical anomaly measure for finite-variance processes
- Models for characterizing the transition among anomalous diffusions with different diffusion exponents
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- Modeling anomalous diffusion by a subordinated integrated Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- 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
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- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Fokker-Planck equation for a metastable time dependent potential
- 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
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- The subordinated processes controlled by a family of subordinators and corresponding Fokker–Planck type equations
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