Stochastic representations of anomalous diffusion processes: subordination approach

Marcin  Magdziarz; Aleksander  Weron

3rd International ICST Conference on Performance Evaluation Methodologies and Tools

Research Article

Stochastic representations of anomalous diffusion processes: subordination approach

Cite: BibTeX Plain Text

@INPROCEEDINGS{10.4108/icst.valuetools.2008.51,
    author={Marcin  Magdziarz and Aleksander  Weron },
    title={Stochastic representations of anomalous diffusion processes: subordination approach},
    proceedings={3rd International ICST Conference on Performance Evaluation Methodologies and Tools},
    publisher={ICST},
    proceedings_a={VALUETOOLS},
    year={2010},
    month={5},
    keywords={},
    doi={10.4108/icst.valuetools.2008.51}
}

Marcin Magdziarz
Aleksander Weron
Year: 2010
Stochastic representations of anomalous diffusion processes: subordination approach
VALUETOOLS
ICST
DOI: 10.4108/icst.valuetools.2008.51

Marcin Magdziarz¹, Aleksander Weron

1: Wroclaw University of Technology, Poland

Abstract

We introduce a subordination-based approach to modeling of anomalous diffusion processes in time-dependent force fields. Using the concept of inverse subordinators and the theory of Levy processes, we construct rigorously a stochastic process, which corresponds to the fractional Fokker-Planck equation with time-dependent force. Our model provides good physical insight through the trajectories. Moreover, it allows to study different anomalous diffusion processes both analytically and numerically.

Published: 2010-05-16
Publisher: ICST

: http://dx.doi.org/10.4108/icst.valuetools.2008.51