Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion

DOI10.1515/fca-2018-0074zbMath1436.60041arXiv1806.11351OpenAlexW2962952851MaRDI QIDQ2328570

Vittoria Sposini, Gianni Pagnini, Silvia Vitali, Mirko D'Ovidio, Paolo Paradisi, Oleksii Sliusarenko, Gastone Castellani

Publication date: 10 October 2019

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.11351

zbMATH Keywords

Ornstein-Uhlenbeck processsuperpositiongeneralized grey Brownian motioncenter of massnon-autonomous stochastic differential equationheterogeneous ensemblerandomly-scaled Gaussian process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fractional ordinary differential equations (34A08)

Related Items (7)

Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles ⋮ On the model of random walk with multiple memory structure ⋮ Integral representation of generalized grey Brownian motion ⋮ Stochastic analysis for vector-valued generalized grey Brownian motion ⋮ Time-changed fractional Ornstein-Uhlenbeck process ⋮ Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion ⋮ Stochastic solutions of generalized time-fractional evolution equations

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