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Hurst exponents for interacting random walkers obeying nonlinear Fokker–Planck equations

Author

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  • Kumar, Niraj
  • Viswanathan, G.M.
  • Kenkre, V.M.

Abstract

Anomalous diffusion of random walks has been extensively studied for the case of non-interacting particles. Here we study the evolution of nonlinear partial differential equations by interpreting them as Fokker–Planck equations arising from interactions among random walkers. We extend the formalism of generalized Hurst exponents to the study of nonlinear evolution equations and apply it to several illustrative examples. They include an analytically solvable case of a nonlinear diffusion constant and three nonlinear equations which are not analytically solvable: the usual Fisher equation which contains a quadratic nonlinearity, a generalization of the Fisher equation with density-dependent diffusion constant, and the Nagumo equation which incorporates a cubic rather than a quadratic nonlinearity. We estimate the generalized Hurst exponents.

Suggested Citation

  • Kumar, Niraj & Viswanathan, G.M. & Kenkre, V.M., 2009. "Hurst exponents for interacting random walkers obeying nonlinear Fokker–Planck equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3687-3694.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:18:p:3687-3694
    DOI: 10.1016/j.physa.2009.05.015
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    Cited by:

    1. Bentes, Sónia R., 2021. "How COVID-19 has affected stock market persistence? Evidence from the G7’s," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).

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