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Modeling Anomalous Diffusion by a Subordinated Integrated Brownian Motion

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  • Long Shi
  • Aiguo Xiao

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

Suggested Citation

  • Long Shi & Aiguo Xiao, 2017. "Modeling Anomalous Diffusion by a Subordinated Integrated Brownian Motion," Advances in Mathematical Physics, John Wiley & Sons, vol. 2017(1).
    • Handle: RePEc:wly:jnlamp:v:2017:y:2017:i:1:n:7246865
    DOI: 10.1155/2017/7246865
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    References listed on IDEAS

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    1. Meerschaert, Mark M. & Nane, Erkan & Xiao, Yimin, 2009. "Correlated continuous time random walks," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1194-1202, May.
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