scholarly journals Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation

2009 ◽  
Vol 2009 (08) ◽  
pp. P08015 ◽  
Author(s):  
S C Lim ◽  
L P Teo
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Langevin Equation ◽  
Single File ◽  
Fractional Langevin Equation ◽  
Single File Diffusion

Numerics for the fractional Langevin equation driven by the fractional Brownian motion

2013 ◽  
Vol 16 (1) ◽  
Author(s):  
Peng Guo ◽  
Caibin Zeng ◽  
Changpin Li ◽  
YangQuan Chen
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Fractional Order ◽  
Langevin Equation ◽  
Mean Square Displacement ◽  
Hurst Parameter ◽  
Mean Square ◽  
Fractional Langevin Equation ◽  
Normal Diffusion ◽  
The Mean

AbstractWe study analytically and numerically the fractional Langevin equation driven by the fractional Brownian motion. The fractional derivative is in Caputo’s sense and the fractional order in this paper is α = 2 − 2H, where H ∈ ($\tfrac{1} {2} $, 1) is the Hurst parameter (or, index). We give numerical schemes for the fractional Langevin equation with or without an external force. From the figures we can find that the mean square displacement of the fractional Langevin equation has the property of the anomalous diffusion. When the fractional order tends to an integer, the diffusion reduces to the normal diffusion.

scholarly journals Interacting Single-File System: Fractional Langevin Formulation Versus Diffusion-Noise Approach

2014 ◽  
Vol 09 (04) ◽  
pp. 381-396 ◽  
Author(s):  
Alessandro Taloni ◽  
Fabio Marchesoni
Keyword(s):  
Time Evolution ◽  
Langevin Equation ◽  
Stochastic Equation ◽  
Statistical Properties ◽  
Analytical Modelling ◽  
Special Issue ◽  
Applied Potential ◽  
Alternative Derivation ◽  
Single File ◽  
Fractional Langevin Equation

We review the latest advances in the analytical modelling of single file diffusion. We focus first on the derivation of the fractional Langevin equation that describes the motion of a tagged file particle. We then propose an alternative derivation of the very same stochastic equation by starting from the diffusion-noise formalism for the time evolution of the file density. [Formula: see text] Special Issue Comments: This article presents mathematical formulations and results on the dynamics in files with applied potential, yet also general files. This article is connected to the Special Issue articles about the zig zag phenomenon,72 advanced statistical properties in single file dynamics,73 and expanding files.74

scholarly journals A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

2014 ◽  
Vol 51 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Dawei Hong ◽  
Shushuang Man ◽  
Jean-Camille Birget ◽  
Desmond S. Lun
Keyword(s):  
Brownian Motion ◽  
Convergence Rate ◽  
Fractional Brownian Motion ◽  
Parallel Algorithm ◽  
Uniform Approximation ◽  
Haar Wavelets ◽  
Hurst Index ◽  
Sample Paths ◽  
Vanishing Moment ◽  
Uniform Expansion

We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (Bt(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently.

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