相关论文: Fractional Diffusion Equation for a Power-Law-Trun…

Recently it has been shown that when an equation that allows so-called pulled fronts in the mean-field limit is modelled with a stochastic model with a finite number $N$ of particles per correlation volume, the convergence to the speed…

In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…

The problem of anomalous diffusion in the momentum space is considered on the basis of the appropriate probability transition function (PTF). New general equation for description of the diffusion of heavy particles in the gas of the light…

In this paper we study pseudo-processes related to odd-order heat-type equations composed with L\'evy stable subordinators. The aim of the article is twofold. We first show that the pseudo-density of the subordinated pseudo-process can be…

This article extends a strong averaging principle for L\'evy diffusions which live on the leaves of a foliated manifold subject to small transversal L\'evy type perturbation to the case of non-compact leaves. The main result states that the…

We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated L\'evy flight recently introduced by us and (ii) the…

We study the influence of a dissipation process on diffusion dynamics triggered by slow fluctuations. We study both strong- and weak-friction regime. When the latter regime applies, the system is attracted by the basin of either Gauss or…

Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…

Functionals of Brownian motion have diverse applications in physics, mathematics, and other fields. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrodinger equation in…

We explore the fractional advection-diffusion equation and rare events associated with the ACTRW model. When waiting times have a finite mean but infinite variance, and the displacements follow a narrow distribution, the fractional operator…

We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…

We show that the anomalous diffusion equations with a fractional derivative in the Caputo or Riesz sense are strictly related to the special convolution properties of the L\'evy stable distributions which stem from the evolution properties…

We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace transform of its occupation times are deduced. To derive the…

We study the diffusion equation with a position-dependent, power-law diffusion coefficient. The equation possesses the Riesz-Weyl fractional operator and includes a memory kernel. It is solved in the diffusion limit of small wave numbers.…

We present two observations related to theapplication of linear (LFE) and nonlinear fractional equations (NFE). First, we give the comparison and estimates of the role of the fractional derivative term to the normal diffusion term in a LFE.…

Large-deviations theory deals with tails of probability distributions and the rare events of random processes, for example spreading packets of particles. Mathematically, it concerns the exponential fall-of of the density of thin-tailed…

Various characterizations for fractional Levy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Levy process, while others are in terms of differentiability properties of…

Consider a reflected jump-diffusion on the positive half-line. Assume it is stochastically ordered. We apply the theory of Lyapunov functions and find explicit estimates for the rate of exponential convergence to the stationary…

Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two…

Nonlinear conservation laws driven by L\'evy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of…