Drift-controlled anomalous diffusion: A solvable Gaussian model

Citation
F. Lillo et Rn. Mantegna, Drift-controlled anomalous diffusion: A solvable Gaussian model, PHYS REV E, 61(5), 2000, pp. R4675-R4678
Citations number
19
Categorie Soggetti
Physics
Journal title
PHYSICAL REVIEW E
ISSN journal
1063651X → ACNP
Volume
61
Issue
5
Year of publication
2000
Part
A
Pages
R4675 - R4678
Database
ISI
SICI code
1063-651X(200005)61:5<R4675:DADASG>2.0.ZU;2-C
Abstract
We introduce a Langevin equation characterized by a time-dependent drift. B y assuming a temporal power-law dependence of the drift, we show that a gre at variety of behavior is observed in the dynamics of the variance of the p rocess. In particular, diffusive, subdiffusive, superdiffusive, and stretch ed exponentially diffusive processes are described by this model for specif ic values of the two control parameters. The model is also investigated in the presence of an external harmonic potential. We prove that the relaxatio n to the stationary solution has a power-law behavior in time with an expon ent controlled by one of the model parameters.