On the wavelet-based simulation of anomalous diffusion

DOI10.1080/00949655.2012.722220zbMath1474.60232arXiv1202.4437MaRDI QIDQ5219934

Gustavo Didier, John Fricks

Publication date: 9 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4437

zbMATH Keywords

wavelets; simulation; anomalous diffusion; fractional Ornstein-Uhlenbeck process; generalized Langevin equation

Mathematics Subject Classification ID

60G15: Gaussian processes

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

60G10: Stationary stochastic processes

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

60K50: Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.)

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Uses Software

• wmtsa

Cites Work

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• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
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