Anomalous diffusion models: different types of subordinator distribution
Mathematical Physics
2011-10-14 v1 math.MP
Methodology
Abstract
Subordinated processes play an important role in modeling anomalous diffusion-type behavior. In such models the observed constant time periods are described by the subordinator distribution. Therefore, on the basis of the observed time series, it is possible to conclude on the main properties of the subordinator. In this paper we analyze the anomalous diffusion models with three types of subordinator distribution: \alpha-stable, tempered stable and gamma. We present similarities and differences between the analyzed processes and point at their main properties (like the behavior of moments or the mean squared displacement).
Cite
@article{arxiv.1110.2868,
title = {Anomalous diffusion models: different types of subordinator distribution},
author = {Joanna Janczura and Agnieszka Wyłomańska},
journal= {arXiv preprint arXiv:1110.2868},
year = {2011}
}