A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics

DOI10.1080/10652460802567517MaRDI QIDQ3619802zbMATH OpenOpenAlexFDO

Authors Antonio Mura, Francesco Mainardi

Publication date 9 April 2009

Published in Integral Transforms and Special Functions (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.0665

zbMATH Keywords

Mittag-Leffler functionfractional Brownian motionfractional derivatives and integrals

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Laplace transform (44A10) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60) Mittag-Leffler functions and generalizations (33E12) Self-similar stochastic processes (60G18)

Abstract: In this paper we present a general mathematical construction that allows us to define a parametric class of $H$-sssi stochastic processes (self-similar with stationary increments), which have marginal probability density function that evolves in time according to a partial integro-differential equation of fractional type. This construction is based on the theory of finite measures on functional spaces. Since the variance evolves in time as a power function, these $H$-sssi processes naturally provide models for slow and fast anomalous diffusion. Such a class includes, as particular cases, fractional Brownian motion, grey Brownian motion and Brownian motion.

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Cited in

(33)

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