A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
From MaRDI portal
Publication:3619802
DOI10.1080/10652460802567517zbMATH Open1173.26005arXiv0711.0665OpenAlexW2153593393MaRDI QIDQ3619802FDOQ3619802
Authors: Antonio Mura, Francesco Mainardi 
Publication date: 9 April 2009
Published in: Integral Transforms and Special Functions (Search for Journal in Brave)
Abstract: In this paper we present a general mathematical construction that allows us to define a parametric class of -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 -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.
Full work available at URL: https://arxiv.org/abs/0711.0665
Recommendations
- Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
- Generalized fractional master equation for self-similar stochastic processes modelling anomalous diffusion
- Two-particle anomalous diffusion: probability density functions and self-similar stochastic processes
- Self-similarity, Stochasticity and Fractionality
- Stochastic representation of subdiffusion processes with time-dependent drift
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)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic solution of space-time fractional diffusion equations
- Completely monotonic functions
- Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
- Continuous-time random walk and parametric subordination in fractional diffusion
- Subordinated Brownian Motion and its Fractional Fokker–Planck Equation
- Deconvolution of fractional brownian motion
- Applications of integral transforms in fractional diffusion processes
Cited In (33)
- Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
- Mittag-Leffler analysis. II: Application to the fractional heat equation.
- Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
- A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
- Generalized Fokker-Planck equation for superstatistical systems
- Generalized grey Brownian motion local time: existence and weak approximation
- Erdélyi-Kober fractional diffusion
- Applications of Erdélyi-Kober fractional integral for solving time-fractional Tricomi-Keldysh type equation
- Stochastic analysis for vector-valued generalized grey Brownian motion
- Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion
- The \(M\)-Wright function in time-fractional diffusion processes: a tutorial survey
- Existence results for a generalization of the time-fractional diffusion equation with variable coefficients
- An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions
- Small ball probabilities and large deviations for grey Brownian motion
- Mittag-Leffler analysis. I: Construction and characterization
- Chaos expansions: applications to a generalized eigenvalue problem for the Malliavin derivative
- Fractional diffusions with time-varying coefficients
- The M-Wright function as a generalization of the Gaussian density for fractional diffusion processes
- Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
- Stochastic solutions of generalized time-fractional evolution equations
- Generalized fractional master equation for self-similar stochastic processes modelling anomalous diffusion
- Existence and upper bound for the density of solutions of stochastic differential equations driven by generalized grey noise
- A class of processes defined in the white noise space through generalized fractional operators
- Singularity of generalized grey Brownian motions with different parameters
- Fractional periodic processes: properties and an application of polymer form factors
- Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles
- Integral representation of generalized grey Brownian motion
- Two-particle anomalous diffusion: probability density functions and self-similar stochastic processes
- A renormalization group classification of nonstationary and/or infinite second moment diffusive processes
- Cameron–Martin type theorem for a class of non-Gaussian measures
- Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
- Random diffusivity from stochastic equations: comparison of two models for Brownian yet non-Gaussian diffusion
- Numerical scheme for Erdélyi-Kober fractional diffusion equation using Galerkin-Hermite method
This page was built for publication: A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3619802)
