Path properties of subdiffusion --- a martingale approach
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Publication:3579002
DOI10.1080/15326341003756379zbMATH Open1205.60080OpenAlexW2008024414MaRDI QIDQ3579002FDOQ3579002
Authors: Marcin Magdziarz 
Publication date: 5 August 2010
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326341003756379
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martingalelaw of large numbersinverse subordinatorlaw of the iterated logarithmsubdiffusionsubdiffusion inverse subordinator
Diffusion processes (60J60) Fractional derivatives and integrals (26A33) Sample path properties (60G17) Stable stochastic processes (60G52)
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Cited In (46)
- \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Analysis of short subdiffusive time series: scatter of the time-averaged mean-squared displacement
- Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
- Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
- Coupled continuous time-random walks in quenched random environment
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
- Identification and validation of fractional subdiffusion dynamics
- Option pricing in subdiffusive Bachelier model
- Confined random motion with Laplace and Linnik statistics
- Exact asymptotic formulas for the heat kernels of space and time-fractional equations
- Quenched trap model for Lévy flights
- Ulam-Hyers-Rassias stability for stochastic differential equations driven by the time-changed Brownian motion
- Black-Scholes formula in subdiffusive regime
- The ultimate boundedness of solutions for stochastic differential equations driven by time-changed Lévy noises
- Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
- 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
- Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
- On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
- Tempered fractional Langevin–Brownian motion with inverse β-stable subordinator
- Fractional Klein–Kramers dynamics for subdiffusion and Itô formula
- Asymptotic degeneracy and subdiffusivity
- Path dynamics of time-changed Lévy processes: a martingale approach
- Exponential stability for time-changed stochastic differential equations
- Stability analysis for a class of nonlinear time-changed systems
- Transport of magnetic bright points on the sun. Analysis of subdiffusion scenarios
- Asymptotic stability of the time-changed stochastic delay differential equations with Markovian switching
- Stochastic Maximum Principle for Subdiffusions and Its Applications
- 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
- Scaled Brownian motion with random anomalous diffusion exponent
- Fractional Poisson fields and martingales
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Stochastic stability of fractional Fokker-Planck equation
- Polynomial stability of highly non-linear time-changed stochastic differential equations
- Stochastic classical solutions for space-time fractional evolution equations on a bounded domain
- Brownian subordinators and fractional Cauchy problems
- Almost sure exponential stability for time-changed stochastic differential equations
- Feynman–Kac equation for anomalous processes with space- and time-dependent forces
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- Lamperti transformation -- cure for ergodicity breaking
- Dynamical behavior of stochastic cellular neural networks with distributed time delays
- Asymptotic properties and numerical simulation of multidimensional Lévy walks
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