We review equilibrium properties for the dynamics of a single particle evolving in a visco-elastic medium under the effect of hydrodynamic backflow which includes added mass and Basset force. Arbitrary equilibrium forces acting upon the particle are also included. We discuss the derivation of...

In this article we propose a new model for financial data description. Combining two independent mechanisms, namely the tempered stable process and inverse stable subordinator, we obtain a new model which captures not only the tempered stable character of the underlying data but also such a...

In a preceding paper, Šćepanović et al. [J.R. Šćepanović, I. Lončarević, Lj. Budinski-Petković, Z.M. Jakšić, S.B. Vrhovac, Phys. Rev. E 84 (2011) 031109. http://dx.doi.org/10.1103/PhysRevE.84.031109] studied the diffusive motion of k-mers on the planar triangular lattice. Among other...

In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0α1, here dX(τ)=μX(τ)(dτ)2H+σX(τ)dBH(τ), as a model of asset prices, which captures the subdiffusive...

The earliest model of stock prices based on Brownian diffusion is the Bachelier model. In this paper we propose an extension of the Bachelier model, which reflects the subdiffusive nature of the underlying asset dynamics. The subdiffusive property is manifested by the random (infinitely...

Anomalous diffusion has recently turned out to be almost ubiquitous in transport problems. When the physical properties of the medium where the transport process takes place are stationary and constant at each spatial location, anomalous transport has been successfully analysed within the...

We present experimental results on the anomalous diffusion in a membrane system which are obtained by means of the laser interferometric technique. When the polyethylene glycol 2000 (PEG2000) diffuses across the membrane into the agarose gel solution, the thickness of the so-called near-membrane...