Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion

DOI10.1088/1742-5468/AB4988zbMath1457.82343arXiv1908.06233OpenAlexW2985718936MaRDI QIDQ5149684

Ralf Metzler

Publication date: 12 February 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.06233

Mathematics Subject Classification ID

Diffusion processes (60J60) Kinetic theory of gases in time-dependent statistical mechanics (82C40)

Related Items (13)

Hazard-selfsimilarity of diffusions’ first passage times ⋮ Correlated continuous-time random walk with stochastic resetting ⋮ Random diffusivity models for scaled Brownian motion ⋮ Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Unsupervised learning of anomalous diffusion data: an anomaly detection approach ⋮ Decomposing the effect of anomalous diffusion enables direct calculation of the Hurst exponent and model classification for single random paths ⋮ Classification of anomalous diffusion in animal movement data using power spectral analysis ⋮ Power Brownian motion ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ Beyond the universal Dyson singularity for 1-D chains with hopping disorder ⋮ Diffusion in a Disk with a Circular Inclusion ⋮ Fractional Brownian motion with random diffusivity: emerging residual nonergodicity below the correlation time ⋮ Exact calculation of the mean first-passage time of continuous-time random walks by nonhomogeneous Wiener–Hopf integral equations

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