Modeling anomalous diffusion by a subordinated fractional Levy-stable process

作者：Teuerle Marek^*; Wylomanska Agnieszka; Sikora Grzegorz

来源：Journal of Statistical Mechanics: Theory and Experiment , 2013, 2013(05): P05016.

DOI：10.1088/1742-5468/2013/05/P05016

• driven diffusive systems (theory)
• stochastic particle dynamics (theory)
• fluctuations (theory)
• stochastic processes (theory)

Two phenomena that can be discovered in systems with anomalous diffusion are long-range dependence and trapping events. The first effect concerns events that are arbitrarily distant but still influence each other exceptionally strongly, which is characteristic for anomalous regimes. The second corresponds to the presence of constant values of the underlying process. Motivated by the relatively poor class of models that can cover these two phenomena, we introduce subordinated fractional Levy-stable motion with tempered stable waiting times. We present in detail its main properties, propose a simulation scheme and give an estimation procedure for its parameters. The last part of the paper is a presentation, via the Monte Carlo approach, of the effectiveness of the estimation of the parameters.

• 出版日期2013-5