English

Heavy-tailed targets and (ab)normal asymptotics in diffusive motion

Statistical Mechanics 2015-05-18 v2 Mathematical Physics math.MP Probability Data Analysis, Statistics and Probability

Abstract

We investigate temporal behavior of probability density functions (pdfs) of paradigmatic jump-type and continuous processes that, under confining regimes, share common heavy-tailed asymptotic (target) pdfs. Namely, we have shown that under suitable confinement conditions, the ordinary Fokker-Planck equation may generate non-Gaussian heavy-tailed pdfs (like e.g. Cauchy or more general L\'evy stable distribution) in its long time asymptotics. For diffusion-type processes, our main focus is on their transient regimes and specifically the crossover features, when initially infinite number of the pdf moments drops down to a few or none at all. The time-dependence of the variance (if in existence), tγ\sim t^{\gamma} with 0<γ<20<\gamma <2, in principle may be interpreted as a signature of sub-, normal or super-diffusive behavior under confining conditions; the exponent γ\gamma is generically well defined in substantial periods of time. However, there is no indication of any universal time rate hierarchy, due to a proper choice of the driver and/or external potential.

Keywords

Cite

@article{arxiv.1004.0127,
  title  = {Heavy-tailed targets and (ab)normal asymptotics in diffusive motion},
  author = {Piotr Garbaczewski and Vladimir Stephanovich and Dariusz Kȩdzierski},
  journal= {arXiv preprint arXiv:1004.0127},
  year   = {2015}
}

Comments

Major revision

R2 v1 2026-06-21T15:05:29.713Z