Anomalous diffusion and generalized Sparre Andersen scaling

We are discussing the long-time scaling limit for the anomalous diffusion composed of the subordinated Lévy-Wiener process. The limiting anomalous diffusion is in general non-Markov, even in the regime, where ensemble averages of a mean-square displacement or quantiles representing the group spread...

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Veröffentlicht in:Europhysics letters 2009-10, Vol.88 (1), p.10003
Hauptverfasser: Dybiec, B, Gudowska-Nowak, E
Format: Artikel
Sprache:eng
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Zusammenfassung:We are discussing the long-time scaling limit for the anomalous diffusion composed of the subordinated Lévy-Wiener process. The limiting anomalous diffusion is in general non-Markov, even in the regime, where ensemble averages of a mean-square displacement or quantiles representing the group spread of the distribution follow the scaling characteristic for an ordinary stochastic diffusion. To discriminate between a truly memory-less process and the non-Markov one, we are analyzing the deviation of the survival probability from the (standard) Sparre Andersen scaling.
ISSN:0295-5075
1286-4854
DOI:10.1209/0295-5075/88/10003