Related papers: Diffusing diffusivity selects Pareto tail exponent…
Diffusive dynamics abound in nature and have been especially studied in physical, biological, and financial systems. These dynamics are characterised by a linear growth of the mean squared displacement (MSD) with time. Often, the conditions…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
We study Langevin dynamics with stochastic diffusivity arising from fluctuations of the surrounding medium. The diffusivity is modeled as Ornstein-Uhlenbeck process driven by symmetric dichotomous noise, which confines it to a finite…
We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the original integral conditions to transition probability densities, and give sufficient conditions for their…
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
Branching random walks on multidimensional lattice with heavy tails and a constant branching rate are considered. It is shown that under these conditions (heavy tails and constant rate), the front propagates exponentially fast, but the…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived recently in physics as a mechanism of…
We study simple diffusion where a particle stochastically resets to its initial position at a constant rate r. A finite resetting rate leads to a nonequilibrium stationary state with non-Gaussian fluctuations for the particle position. We…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…
The tail of the distribution of primordial fluctuations (corresponding to the likelihood of realization of large fluctuations) is of interest, from both theoretical and observational perspectives. In particular, it is relevant for the…
A diffusing lion pursues a diffusing lamb when both of them are allowed to get back to their homes intermittently. Identifying the system with a pair of vicious random walkers, we study their dynamics under Poissonian and sharp resetting.…
In some fields of applications of stable distributions, especially in economics, it appears, that data have distributions similar to stable in a large region, but do not have such heavy tails. Our aim in this note is to propose several…
Diffusive transport in many complex systems features a crossover between anomalous diffusion at short times and normal diffusion at long times. This behavior can be mathematically modeled by cutting off (tempering) beyond a mesoscopic…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
We introduce and discuss spatially homogeneous Maxwell-type models of the nonlinear Boltzmann equation undergoing binary collisions with a random component. The random contribution to collisions is such that the usual collisional invariants…
Evolution of a system of diffusing and proliferating mortal reactants is analyzed in the presence of randomly moving catalysts. While the continuum description of the problem predicts reactant extinction as the average growth rate becomes…
We investigate the ensemble and time averaged mean squared displacements for particle diffusion in a simple model for disordered media by assuming that the local diffusivity is both fluctuating in time and has a deterministic average growth…
A possible mechanism leading to anomalous diffusion is the presence of long-range correlations in time between the displacements of the particles. Fractional Brownian motion, a non-Markovian self-similar Gaussian process with stationary…