Name
Abstract | ||
|---|---|---|
In this work, we study some problems about non-gaussian distributions, “hyper” or “hypo” diffusions where the β order moments are of type t β/α with β and α belonging to R + ∗ . We introduce signed measures corresponding to these diffusions on R , inspired by the classical techniques in the brownian case. We examine some specific cases of “hyper” and “hypo” diffusions and we propose a generalization of ITO formula for non-gaussian diffusions. Finally, we give a numerical method based on Discrete Fourier Transforms (DFTs) for the resolution of an “anomalous diffusion equation”. |
Year | DOI | Venue |
|---|---|---|
2000 | 10.1016/S0096-3003(99)00029-6 | Applied Mathematics and Computation |
Keywords | DocType | Volume |
fractional calculus,fractionnal brownian motion,diffusion equation,stable processes,brownian motion,fractional brownian motion,numerical method,anomalous diffusion,discrete fourier transform,stable process,gaussian distribution | Journal | 109 |
Issue | ISSN | Citations |
2 | Applied Mathematics and Computation | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Michèle Mastrangelo | 1 | 0 | 0.34 |
| Victor Mastrangelo | 2 | 0 | 0.34 |
| Jean-Marie Teuler | 3 | 0 | 0.34 |