On the wavelet-based simulation of anomalous diffusion

DOI10.1080/00949655.2012.722220zbMATH Open1474.60232arXiv1202.4437OpenAlexW2163803555MaRDI QIDQ5219934FDOQ5219934

Authors: Gustavo Didier, John Fricks 

Publication date: 9 March 2020

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

Abstract: The characterization of particle diffusion is a classical problem in physics and probability theory. The field of microrheology is based on experiments in which microscopic tracer beads are placed into a non-Newtonian fluid and tracked using high speed video capture. The modeling of the behavior of these beads is now an active scientific area which demands multiple stochastic and statistical methods. We propose an approximate wavelet-based simulation technique for two classes of continuous time anomalous diffusion models, the fractional Ornstein-Uhlenbeck process and the fractional generalized Langevin equation. The proposed algorithm is an iterative method that provides approximate discretizations that converge quickly and in an appropriate sense to the continuous time target process. As compared to previous works, it covers cases where the natural discretization of the target process does not have closed form in the time domain. Moreover, we propose smoothing procedures as to speed the time domain decay of the filters.

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

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zbMATH Keywords

waveletssimulationanomalous diffusionfractional Ornstein-Uhlenbeck processgeneralized Langevin equation

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Gaussian processes (60G15) Stationary stochastic processes (60G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

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Cited In (2)

• The asymptotic distribution of the pathwise mean squared displacement in single particle tracking experiments
• Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments

Uses Software

• wmtsa

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