A model of non-Gaussian diffusion in heterogeneous media
From MaRDI portal
Publication:4639434
DOI10.1088/1751-8121/aab15fzbMath1391.92012arXiv1711.09588OpenAlexW3098265027MaRDI QIDQ4639434
Yann Lanoiselée, Denis S. Grebenkov
Publication date: 9 May 2018
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.09588
Cell biology (92C37) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
Random diffusivity models for scaled Brownian motion ⋮ Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles ⋮ A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models ⋮ Non-Gaussian diffusion of mixed origins ⋮ Detecting temporal correlations in hopping dynamics in Lennard–Jones liquids ⋮ Rouse model in crowded environment modeled by ``diffusing diffusivity ⋮ Non-Gaussian displacement distributions in models of heterogeneous active particle dynamics ⋮ Active particle in a harmonic trap driven by a resetting noise: an approach via Kesten variables ⋮ A fractional Fokker–Planck equation for non-singular kernel operators ⋮ Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion ⋮ Optimal control for a linear quadratic problem with a stochastic time scale ⋮ First passage statistics for diffusing diffusivity ⋮ Equilibrium and non-equilibrium statistical mechanics with generalized fractal derivatives: A review ⋮ Fractional Brownian motion with random diffusivity: emerging residual nonergodicity below the correlation time ⋮ Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise ⋮ Exact first-passage time distributions for three random diffusivity models ⋮ Confined random motion with Laplace and Linnik statistics ⋮ Selfsimilar diffusions
Cites Work
- Two singular diffusion problems
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- A Theory of the Term Structure of Interest Rates
- Random Walks on Lattices. II
- Probability distribution of returns in the Heston model with stochastic volatility*
- Stochastic Calculus and Differential Equations for Physics and Finance
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Fractional Brownian Motions, Fractional Noises and Applications
- Superstatistics
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
