Related papers: Statistical test for fractional Brownian motion ba…

In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurst parameter $H$ is depending on the…

Anomalous diffusion processes pose a unique challenge in classification and characterization. Previously (Mangalam et al., 2023, Physical Review Research 5, 023144), we established a framework for understanding anomalous diffusion using…

Anomalous diffusion has been widely observed by single particle tracking microscopy in complex systems such as biological cells. The resulting time series are usually evaluated in terms of time averages. Often anomalous diffusion is…

Let $\{b_H(t),t\in\mathbb{R}\}$ be the fractional Brownian motion with parameter $0<H<1$. When $1/2<H$, we consider diffusion equations of the type \[X(t)=c+\int_0^t\sigma\bigl(X(u)\bigr)\mathrm {d}b_H(u)+\int _0^t\mu\bigl(X(u)\bigr)\mathrm…

We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…

Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high frequencies is associated with the degree of small-scale…

We propose a macroscopic realization of planar Brownian motion by vertically vibrated disks. We perform a systematic statistical analysis of many random trajectories of individual disks. The distribution of increments is shown to be almost…

The scaled Brownian motion (SBM) is regarded as one of the paradigmatic random processes, featuring the anomalous diffusion property characterized by the diffusion exponent. It is a Gaussian, self-similar process with independent…

We analyse mobile-immobile transport of particles that switch between the mobile and immobile phases with finite rates. Despite this seemingly simple assumption of Poissonian switching we unveil a rich transport dynamics including…

We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…

We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We…

Last year in [Phys. Rev. E 102, 042121 (2020)] the authors studied an overdamped dynamics of nonequilibrium noise driven Brownian particle dwelling in a spatially periodic potential and discovered a novel class of Brownian, yet non-Gaussian…

This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…

This paper discusses the fractional diffusion equation forced by a tempered fractional Gaussian noise. The fractional diffusion equation governs the probability density function of the subordinated killed Brownian motion. The tempered…

We introduce a simple stochastic system able to generate anomalous diffusion both for position and velocity. The model represents a viable description of the Fermi's acceleration mechanism and it is amenable to analytical treatment through…

Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…

We suggest a governing equation which describes the process of polymer chain translocation through a narrow pore and reconciles the seemingly contradictory features of such dynamics: (i) a Gaussian probability distribution of the…

Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…

We show that anomalous diffusion can result when the steps of a random walk are not statistically independent. We present an algorithm that counts all the possible paths of particles diffusing on random graphs with arbitrary degree…

We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a…