An Analytic Study of the Ornstein–Uhlenbeck Process with Time-Varying Coefficients in the Modeling of Anomalous Diffusions
Паламарчук Екатерина Сергеевна · Automation and Remote Control · 2018
We consider the problem of modeling anomalous diffusions with the Ornstein–Uhlenbeck process with time-varying coefficients. An anomalous diffusion is defined as a process whose mean-squared displacement non-linearly grows in time which is nonlinearly growing in time. We classify diffusions into types (subdiffusion, normal diffusion, or superdiffusion) depending on the parameters of the underlying process. We solve the problem of finding the coefficients of dynamics equations for the Ornstein–Uhlenbeck process to reproduce a given mean-squared displacement function.