Random walk model with correlated jumps: Self-correlation function and frequency-dependent diffusion coefficient

In this paper we report the results of a generalization of the continuous-time random walk theory of Montroll and Weiss to include correlations over two jumps. We expand our results of a previous letter by discussing the multi-state master equation formulation for Bravais and non-Bravais lattices. We present results for these equations and discuss the ease of tetrahedral interstitial sites in body centered cubic lattices which have a realization in hydrogen in metal systems. We prove that the Bravais lattices always reduce to a second-order differential equation and we give a general solution for the frequency-dependent diffusion coefficient in this case.     

Anomalous localization in low-dimensional systems with correlated disorder

This review presents a unified view on the problem of Anderson localization in one-dimensional weakly disordered systems with short-range and long-range statistical correlations in random potentials. The following models are analyzed: the models with continuous potentials, the tight-binding models of the Anderson type, and various Kronig–Penney models with different types of perturbations. Main attention is paid to the methods of obtaining the localization length in dependence on the controlling parameters of the models. Specific interest is in an emergence of effective mobility edges due to certain long-range correlations in a disorder. The predictions of the theoretical and numerical analysis are compared to recent experiments on microwave transmission through randomly filled waveguides.     

Anomalous magnetization jumps in granular Pb superconducting films

In granular superconductors, the grain boundaries are closely related to the vortex dynamics and the macroscopic superconducting properties. In our research, Pb films with different grain sizes were prepared by tuning the substrate temperature. With the grain size decreasing, Pb films are prone to feature the anomalous magnetization jumps in the M − T curves, while in the M − H curves flux avalanche happens. Both phenomena appear in the same region of the H − T phase diagram and thus are considered to have the same origin. The further theoretical analysis shows that with grain size decreasing the pinning mechanism evolves from a mixed δT_c and δl pinning to the δl pinning mechanism. The results shed light on the study of pinning mechanism for granular superconductors and is beneficial to the potential application of manipulating vortex pinning by regulation of intrinsic defects.     

Anomalous diffusion in a random velocity field

We construct diffusions in random velocity fields which present anomalous superdiffusive behavior. The mean square displacement can be made to have any power lawt for 1<2. Higher moments and characteristic functions are also investigated.     

Fractional diffusion models of option prices in markets with jumps

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models. Of those financial models proposed, the most interesting include the CGMY, KoBoL and FMLS. All of these capture some of the most important characteristics of the dynamics of stock prices. In this article we show that for these particular Lévy processes, the prices of financial derivatives, such as European-style options, satisfy a fractional partial differential equation (FPDE). As an application, we use numerical techniques to price exotic options, in particular barrier options, by solving the corresponding FPDEs derived.     

Anomalous diffusion in two-dimensional potentials with hexagonal symmetry

The diffusion process in a Hamiltonian dynamical system describing the motion of a particle in a two-dimensional (2D) potential with hexagonal symmetry is studied. It is shown that, depending on the energy of the particle, various transport processes can exist: normal (Brownian) diffusion, anomalous diffusion, and ballistic transport. The relationship between these transport processes and the underlying structure of the phase space of the Hamiltonian dynamical system is investigated. The anomalous transport is studied in detail in two particular cases: in the first case, inside the chaotic sea there exist self-similar structures with fractal properties while in the second case the transport takes place in the presence of multilayered structures. It is demonstrated that structures of the second type can lead to a physical situation in which the transport becomes ballistic. Also, it is shown that for all cases in which the diffusive transport is anomalous the trajectories of the diffusing particles contain long segments of regular motion, the length of these segments being described by Levy probability density functions. Finally, the numerical values of the parameters which describe the diffusion processes are compared with those predicted by existing theoretical models. (c) 2000 American Institute of Physics.     

Anomalous diffusion with absorption: exact time-dependent solutions

Recently, analytical solutions of a nonlinear Fokker-Planck equation describing anomalous diffusion with an external linear force were found using a nonextensive thermostatistical Ansatz. We have extended these solutions to the case when an homogeneous absorption process is also present. Some peculiar aspects of the interrelation between the deterministic force, the nonlinear diffusion, and the absorption process are discussed.     

Anomalous diffusion and thermal diffusion of light ions in a nonisothermal plasma

A turbulent state appearing upon the Cherenkov generation of slow ion acoustic waves by light ions and their induced scattering on heavy ions has been studied. The coefficients of the anomalous diffusion and thermal diffusion of light ions have been determined.     

Anomalous diffusion and continuum percolation

Anomalous diffusion for continuum percolation is simulated by considering systems of randomly distributed circles and spheres. Universal behavior is obtained for the case of equal local conductances and nonuniversal behavior for diverging distributions of the local conductances. Diffusion in the continuum has a behavior consistent with that of other transport properties in the continuum. In addition, the results suggest that different algorithms for diffusion, which differ only in the random walker sitting times, are equivalent.     

Universal earthquake-occurrence jumps, correlations with time, and anomalous diffusion

Spatiotemporal properties of seismicity are investigated for a worldwide (WW) catalog and for southern California in the stationary case (SC), showing a nearly universal scaling behavior. Distributions of distances between consecutive earthquakes (jumps) are magnitude independent and show two power-law regimes, separated by jump values about 200 (WW) and 15 km (SC). Distributions of waiting times conditioned to the value of jumps show that both variables are correlated, in general, but turn out to be independent when only short or long jumps are considered. Finally, diffusion profiles are found to be independent on the magnitude, contrary to what the waiting-time distributions suggest.     

Anomalous diffusion in silo drainage

The silo discharge process is studied by molecular dynamics simulations. The development of the velocity profile and the probability density function for the displacements in the horizontal and vertical axis are obtained. The PDFs obtained at the beginning of the discharge reveal non-Gaussian statistics and superdiffusive behaviors. When the stationary flow is developed, the PDFs at shorter temporal scales are non-Gaussian too. For big orifices a well-defined transition between ballistic and diffusive regime is observed. In the case of a small outlet orifice, no well-defined transition is observed. We use a nonlinear diffusion equation introduced in the framework of non-extensive thermodynamics in order to describe the movements of the grains. The solution of this equation gives a well-defined relationship (γ= 2/(3-q)) between the anomalous diffusion exponent γ and the entropic parameter q introduced by the non-extensive formalism to fit the PDF of the fluctuations.