Asymptotic behavior of the supremum tail probability for anomalous diffusions

Zbigniew Michna

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 2, 413-417

Abstract: In this paper we investigate asymptotic behavior of the tail probability for subordinated self-similar processes with regularly varying tail probability. We show that the tail probability of the one-dimensional distributions and the supremum tail probability are regularly varying with the pre-factor depending on the moments of the subordinating process. We can apply our result to the so-called anomalous diffusion.

Keywords: Continuous time random walk; Subordinated process; Anomalous diffusion; Self-similar process; α-stable Lévy process; Tail probability (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:2:p:413-417

DOI: 10.1016/j.physa.2007.09.038

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