Non-Markovian diffusion equations and processes: Analysis and simulations
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DOI: 10.1016/j.physa.2008.04.035
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References listed on IDEAS
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- Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020. "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers 2011.00312, arXiv.org.
- Tomaschitz, Roman, 2020. "Multiply broken power-law densities as survival functions: An alternative to Pareto and lognormal fits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
- dos Santos, Maike A.F. & Junior, Luiz Menon, 2021. "Random diffusivity models for scaled Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
- Mario Abundo & Enrica Pirozzi, 2019. "On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes," Mathematics, MDPI, vol. 7(10), pages 1-12, October.
- Kondratiev, Yuri & da Silva, José L., 2023. "Compound Poisson processes: Potentials, Green measures and random times," Statistics & Probability Letters, Elsevier, vol. 197(C).
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Keywords
Non-Markovian processes; Fractional derivatives; Anomalous diffusion; Subordination; Fractional Brownian motion;All these keywords.
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