Modeling Anomalous Diffusion by a Subordinated Integrated Brownian Motion

Long Shi and Aiguo Xiao

Advances in Mathematical Physics, 2017, vol. 2017, issue 1

Abstract: We consider a particular type of continuous time random walk where the jump lengths between subsequent waiting times are correlated. In a continuum limit, the process can be defined by an integrated Brownian motion subordinated by an inverse α‐stable subordinator. We compute the mean square displacement of the proposed process and show that the process exhibits subdiffusion when 0

Date: 2017
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https://doi.org/10.1155/2017/7246865

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlamp:v:2017:y:2017:i:1:n:7246865

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