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Functional Distribution Of Anomalous And Nonergodic Diffusion: From Stochastic Processes To Pdes
Weihua DengXudong WangDaxin Nie
出版World Scientific, 2022-06-20
主題Mathematics / Numerical AnalysisMathematics / Differential Equations / PartialMathematics / Probability & Statistics / Stochastic Processes
ISBN98112505109789811250514
URLhttp://books.google.com.hk/books?id=Scp8EAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋This volume presents a pedagogical review of the functional distribution of anomalous and nonergodic diffusion and its numerical simulations, starting from the studied stochastic processes to the deterministic partial differential equations governing the probability density function of the functionals. Since the remarkable theory of Brownian motion was proposed by Einstein in 1905, it had a sustained and broad impact on diverse fields, such as physics, chemistry, biology, economics, and mathematics. The functionals of Brownian motion are later widely attractive for their extensive applications. It was Kac, who firstly realized the statistical properties of these functionals can be studied by using Feynman's path integrals.In recent decades, anomalous and nonergodic diffusions which are non-Brownian become topical issues, such as fractional Brownian motion, Lévy process, Lévy walk, among others. This volume examines the statistical properties of the non-Brownian functionals, derives the governing equations of their distributions, and shows some algorithms for solving these equations numerically.