Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
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Publication:3301617
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Stable stochastic processes (60G52) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
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Cites work
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- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A renewal-process-type expression for the moments of inverse subordinators
- An iterative procedure for the estimation of the parameters of stable laws
- Anomalous diffusion in correlated continuous time random walks
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- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Correlated continuous time random walks
- Correlation cascades, ergodic properties and long memory of infinitely divisible processes
- Diffusion Equation and Stochastic Processes
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Estimating the codifference function of linear time series models with infinite variance
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional governing equations for coupled random walks
- Geometric Brownian motion with tempered stable waiting times
- INFINITE VARIANCE STABLE ARMA PROCESSES
- Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
- Random walks on lattices. II
- Regression-Type Estimation of the Parameters of Stable Laws
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- Stochastic representation of subdiffusion processes with time-dependent drift
- Stochastic-Process Limits
- Tempered stable Lévy motion and transient super-diffusion
- Tempered stable laws as random walk limits
- Tempering stable processes
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
- The asymptotic dependence structure of the linear fractional Lévy motion
- The integrated periodogram for stable processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Wavelet analysis of long-range-dependent traffic
Cited in
(16)- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
- Codifference as a practical tool to measure interdependence
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Anomalous pulsation
- Transient anomalous sub-diffusion on bounded domains
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Characterizing anomalous diffusion by studying displacements
- A fractional phase-field model using an infinitesimal generator of \(\alpha\) stable Lévy process
- Rotational invariance of stochastic processes with application to fractional dynamics
- The tempered stable process with infinitely divisible inverse subordinators
- Two-time scale subordination in physical processes with long-term memory
- Modeling anomalous diffusion by a subordinated integrated Brownian motion
- Ergodic properties of Lévy flights coexisting with subdiffusion and related models
- The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations
- Decomposing the effect of anomalous diffusion enables direct calculation of the Hurst exponent and model classification for single random paths
- Fractional Lévy stable motion time-changed by gamma subordinator
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