Variable step random walks and self-similar distributions

DOI10.1007/S10955-005-5474-YzbMATH Open1127.82041arXivphysics/0412182OpenAlexW3098121036MaRDI QIDQ2492829FDOQ2492829

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

Publication date: 14 June 2006

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

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.

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)

Cites Work

• Probability
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Cited In (8)

• Random walks with multiple step lengths
• First-passage-time distribution for variable-diffusion processes
• Similarity solutions of Fokker-Planck equation with moving boundaries
• Similarity solutions of the Fokker-Planck equation with time-dependent coefficients
• Title not available (Why is that?)
• 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

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