Unbiased density computation for stochastic resetting

DOI10.1088/1751-8121/AD5B2EMaRDI QIDQ6572812zbMATH OpenFDO

Authors Reiichiro Kawai

Publication date 16 July 2024

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1751-8121/AD5B2E

zbMATH Keywords

anomalous diffusionfractional Brownian motionOrnstein-Uhlenbeck processespartial resettingPoisson resettingrenewal resettingstochastic resetting

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• A Method for Simulating Stable Random Variables
• Autocorrelation functions and ergodicity in diffusion with stochastic resetting
• Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
• Cusping, transport and variance of solutions to generalized Fokker–Planck equations
• Diffusion under time-dependent resetting
• Diffusion with resetting in arbitrary spatial dimension
• Diffusive search with spatially dependent resetting
• Estimating multidimensional density functions using the Malliavin-Thalmaier formula
• First-passage functionals for Ornstein–Uhlenbeck process with stochastic resetting
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Linear Problems for a Fractional Brownian Motion: Group Approach
• Long time scaling behaviour for diffusion with resetting and memory
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
• Stochastic calculus of variations in mathematical finance.
• Stochastic resetting and applications
• Time-dependent probability density function for partial resetting dynamics

Cited in

(3)

• Partial stochastic resetting with refractory periods
• Monte Carlo methods with infinite variances
• Generalised Ornstein-Uhlenbeck process: memory effects and resetting

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