Random diffusivity from stochastic equations: comparison of two models for Brownian yet non-Gaussian diffusion

DOI10.1088/1367-2630/AAB696zbMATH Open1543.82031MaRDI QIDQ6548243FDOQ6548243

Authors: Vittoria Sposini, Aleksei V. Chechkin, Flavio Seno, Gianni Pagnini, Ralf Metzler 

Publication date: 1 June 2024

Published in: New Journal of Physics (Search for Journal in Brave)

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Transition to stochasticity (chaotic behavior) for nonlinear problems in mechanics (70K55)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Fractional Brownian Motions, Fractional Noises and Applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Title not available (Why is that?)
• Title not available (Why is that?)
• A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
• Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• Erdélyi-Kober fractional diffusion
• Superstatistics
• Criteria for the selection of stochastic models of particle trajectories in turbulent flows
• Ageing and confinement in non-ergodic heterogeneous diffusion processes
• Anomalous diffusion in correlated continuous time random walks
• Title not available (Why is that?)
• Probability distribution of returns in the Heston model with stochastic volatility*
• Superstatistical Brownian motion
• A model of non-Gaussian diffusion in heterogeneous media
• On the Distribution of the Integrated Square of the Ornstien–Uhlenbeck Process
• Sur la théorie du mouvement brownien.
• Zur kinetischen Theorie der \textit{Brown}schen Molekularbewegung und der Suspensionen.
• Über die von der molekularkinetischen Theorie der Wärme geforderte Bewegung von in ruhenden Flüssigkeiten suspendierten Teilchen.

Cited In (7)

• Colossal Brownian yet non-Gaussian diffusion in a periodic potential: impact of nonequilibrium noise amplitude statistics
• Anomalous non-Gaussian diffusion of scaled Brownian motion in a quenched disorder environment
• Regular and anomalous diffusion. I: Foundations
• Beta Brownian motion
• Linear combinations of i.i.d. Strictly stable variables with random coefficients and their application to anomalous diffusion processes
• Generalized Fokker-Planck equation for superstatistical systems
• Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities

This page was built for publication: Random diffusivity from stochastic equations: comparison of two models for Brownian yet non-Gaussian diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6548243)