Ergodic properties of anomalous diffusion processes

DOI10.1016/j.aop.2011.04.015zbMath1227.82058OpenAlexW2092426513MaRDI QIDQ719708

Aleksander Weron, Marcin Magdziarz

Publication date: 11 October 2011

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

Full work available at URL: https://doi.org/10.1016/j.aop.2011.04.015

zbMATH Keywords

ergodicityOrnstein-Uhlenbeck processmixinganomalous diffusionfractional Fokker-Planck equationKhinchin theorem

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Ergodicity, mixing, rates of mixing (37A25) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items

Fractionally integrated inverse stable subordinators ⋮ On operator fractional Lévy motion: integral representations and time-reversibility ⋮ Is it Brownian or fractional Brownian motion? ⋮ Identification and validation of stable ARFIMA processes with application to UMTS data ⋮ Asymptotic properties of Brownian motion delayed by inverse subordinators ⋮ Ergodic properties of Lévy flights coexisting with subdiffusion and related models ⋮ Random time averaged diffusivities for Lévy walks ⋮ Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics ⋮ Lamperti transformation -- cure for ergodicity breaking ⋮ Lamperti transformation of scaled Brownian motion and related Langevin equations ⋮ Option pricing in subdiffusive Bachelier model ⋮ Phase diagram in stored-energy-driven Lévy flight ⋮ Chaos in a topologically transitive semi-flow ⋮ Multi-sensitivity, syndetical sensitivity and the asymptotic average- shadowing property for continuous semi-flows ⋮ The Poisson aggregation process ⋮ The stretched exponential behavior and its underlying dynamics. The phenomenological approach ⋮ A Fokker-Planck control framework for stochastic systems ⋮ How random is a random vector? ⋮ Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes ⋮ Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach ⋮ A note on decay of correlation implies chaos in the sense of Devaney ⋮ Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration ⋮ Asymptotic theory for the detection of mixing in anomalous diffusion ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ Discriminating Gaussian processes via quadratic form statistics ⋮ Empirical anomaly measure for finite-variance processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The equivalence of ergodicity and weak mixing for infinitely divisible processes
• Correlation cascades, ergodic properties and long memory of infinitely divisible processes
• The foundational role of ergodic theory
• Tempering stable processes
• Ergodic properties of stationary stable processes
• Chaos, fractals, and noise: Stochastic aspects of dynamics.
• Fractional {O}rnstein-{U}hlenbeck processes
• Simple conditions for mixing of infinitely divisible processes
• Note on two theorems in nonequilibrium statistical mechanics
• Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
• A Note on Maruyama's Mixing Theorem
• Aging and nonergodicity beyond the Khinchin theorem
• Why Irreversibility Is Not a Sufficient Condition for Ergodicity
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• THE MIXING PROPERTY OF GAUSSIAN FLOWS
• Semi-Stable Stochastic Processes
• Subordinated diffusion and continuous time random walk asymptotics
• Transport, Collective Motion, and Brownian Motion
• On the ergodicity of a certain stationary process
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Stochastic processes and statistical inference