Variable step random walks and self-similar distributions

DOI10.1007/S10955-005-5474-YMaRDI QIDQ2492829zbMATH OpenOpenAlexFDO

Authors Gemunu H. Gunaratne, Joseph L. McCauley, Matthew Nicol, Andrei Török

Publication date 14 June 2006

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

Full work available at URL https://arxiv.org/abs/physics/0412182

zbMATH Keywords

central limit theoremFokker-Planck equationnon-Gaussian distributionsMartingale process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Continuous-time Markov processes on general state spaces (60J25) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Abstract: We study a scenario under which variable step random walks give anomalous statistics. We begin by analyzing the Martingale Central Limit Theorem to find a sufficient condition for the limit distribution to be non-Gaussian. We note that the theorem implies that the scaling index $zeta$ is 1/2. For corresponding continuous time processes, it is shown that the probability density function $W(x;t)$ satisfies the Fokker-Planck equation. Possible forms for the diffusion coefficient are given, and related to $W(x,t)$. Finally, we show how a time-series can be used to distinguish between these variable diffusion processes and L'evy dynamics.

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Cites work

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Cited in

(10)

• Random walks with multiple step lengths
• First-passage-time distribution for variable-diffusion processes
• Geometric random walk of finite number of agents under constant variance
• Similarity solutions of Fokker-Planck equation with moving boundaries
• Similarity solutions of the Fokker-Planck equation with time-dependent coefficients
• scientific article; zbMATH DE number 5235879 (Why is no real title available?)
• Exactly solvable Fokker-Planck equation with time-dependent nonlinear drift and diffusion coefficients -- the Lie-algebraic approach
• Variable diffusion in stock market fluctuations
• Time-dependent Darboux transformation and supersymmetric hierarchy of Fokker-Planck equations
• Similarity and self-similarity in random walk with fixed, random and shrinking steps

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