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dc.contributor.authorMura, A.en_US
dc.contributor.authorTaqqu, Murad S.en_US
dc.contributor.authorMainardi, F.en_US
dc.date.accessioned2019-08-28T19:37:40Z
dc.date.available2019-08-28T19:37:40Z
dc.date.issued2008-09-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000258770500007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationA. Mura, M.S. Taqqu, F. Mainardi. 2008. "Non-Markovian diffusion equations and processes: Analysis and simulations." PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, Volume 387, Issue 21, pp. 5033 - 5064 (32). https://doi.org/10.1016/j.physa.2008.04.035
dc.identifier.issn0378-4371
dc.identifier.issn1873-2119
dc.identifier.urihttps://hdl.handle.net/2144/37492
dc.description.abstractIn this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation can be interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker–Planck equation which involves the memory kernel K(t). We develop several applications and derive the exact solutions. We consider different stochastic models for the given equations providing path simulations.en_US
dc.description.sponsorshipThis work has been carried out in the framework of a research project for Fractional Calculus Modelling (URL: www.fracalmo.org). it was pursued while Antonio Mura was visiting Boston University as a recipient of a fellowship of the Marco Polo project of the University of Bologna. The authors appreciate partial support by the NSF Grants DMS-050547 and DMS-0706786 at Boston University, by the Italian Ministry of University (M.I.U.R) through the Research Commission of the University of Bologna, and by the National Institute of Nuclear Physics (INFN) through the Bologna branch (Theoretical Group). Finally, the authors would like to thank the anonymous referees for their comments. (DMS-050547 - NSF; DMS-0706786 - NSF; Italian Ministry of University (M.I.U.R); National Institute of Nuclear Physics (INFN))en_US
dc.format.extentp. 5033 - 5064en_US
dc.languageEnglish
dc.publisherELSEVIER SCIENCE BVen_US
dc.relation.ispartofPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
dc.subjectPhysics, multidisciplinaryen_US
dc.subjectPhysicsen_US
dc.subjectNon-Markovian processesen_US
dc.subjectFractional derivativesen_US
dc.subjectAnomalous diffusionen_US
dc.subjectSubordinationen_US
dc.subjectFractional Brownian motionen_US
dc.subjectMathematical physicsen_US
dc.subjectQuantum physicsen_US
dc.subjectFluids & plasmasen_US
dc.titleNon-Markovian diffusion equations and processes: analysis and simulationsen_US
dc.typeArticleen_US
dc.description.versionAccepted manuscripten_US
dc.identifier.doi10.1016/j.physa.2008.04.035
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
pubs.publication-statusPublisheden_US
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, MS)
dc.identifier.mycv54247


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