Search Results - subject:"generalized Langevin equation"

Multiscale stochastic models for bitcoin : fractional brownian motion and duration-based approaches

Carvalho, Arthur Rodrigues Pereira de; Quintino, Felipe; … - In: FinTech 4 (2025) 3, pp. 1-24

This study introduces and evaluates stochastic models to describe Bitcoin price dynamics at different time scales, using daily data from January 2019 to December 2024 and intraday data from 20 January 2025. In the daily analysis, models based on are introduced to capture long memory, paired with...

Persistent link: https://www.econbiz.de/10015533849

Generalized Langevin equation with hydrodynamic backflow: Equilibrium properties

Fodor, Étienne; Grebenkov, Denis S.; Visco, Paolo; van … - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 107-112

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...

Persistent link: https://www.econbiz.de/10011194088

Generalized Langevin equation for tracer diffusion in atomic liquids

Mendoza-Méndez, Patricia; López-Flores, Leticia; … - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 1-16

through spherically symmetric pairwise potentials). We base our derivation on the generalized Langevin equation formalism, and … find that the resulting time evolution equation is formally identical to the generalized Langevin equation that describes …

Persistent link: https://www.econbiz.de/10011058786

Active transport in complex media: Relationship between persistence and superdiffusion

Despósito, Marcelo A.; Pallavicini, Carla; Levi, Valeria; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 6, pp. 1026-1032

viscoelastic environment and subjected to an external noise. In the framework of a generalized Langevin equation, we compare the …

Persistent link: https://www.econbiz.de/10011058589

Generalized Langevin equation with a three parameter Mittag-Leffler noise

Sandev, Trifce; Tomovski, Živorad; Dubbeldam, Johan L.A. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3627-3636

The relaxation functions for a given generalized Langevin equation in the presence of a three parameter Mittag …

Persistent link: https://www.econbiz.de/10011064062

Fractional generalized Langevin equation approach to single-file diffusion

Eab, C.H.; Lim, S.C. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 13, pp. 2510-2521

Fractional generalized Langevin equation with external force is used to model single-file diffusion. It is found that … associated with fractional generalized Langevin equation are used. By considering some special cases of the fractional … generalized Langevin equation, a new class of closed analytic expressions for the mean square displacement of single …

Persistent link: https://www.econbiz.de/10010591516

Energy dissipation and violation of the fluctuation-response relation for harmonic oscillators described by the generalized Langevin equation

Bai, Zhan-Wu - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 20, pp. 4357-4360

The generalized Langevin equation (GLE) satisfied by harmonic oscillators coupled to a heat bath is transformed into an …

Persistent link: https://www.econbiz.de/10010588784

The study of dynamic singularities of seismic signals by the generalized Langevin equation

Yulmetyev, Renat; Khusnutdinoff, Ramil; Tezel, Timur; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3629-3635

Analytically and quantitatively we reveal that the generalized Langevin equation (GLE), based on a memory function …

Persistent link: https://www.econbiz.de/10011064526

Superdiffusive conduction: AC conductivity with correlated noise

Oliveira, Fernando A.; Morgado, Rafael; Hansen, Alex; … - In: Physica A: Statistical Mechanics and its Applications 357 (2005) 1, pp. 115-121

Langevin equation whose memory function accounts for the interactions between the carriers. New mechanisms inducing a … localization is suppressed. An expression for anomalous electrical conductivity at low frequencies is found by using a generalized …

Persistent link: https://www.econbiz.de/10010589320

Quantitative evaluation of nonlinear diffusion for isotropic random flow

Sato, Kenji; Nagashima, Hideki - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 1, pp. 17-34

The projection operator method is applied to isotropic random flow field. This application derives a model of a time correlation function with no assumption, and allows for quantitative evaluations of the nonlinear diffusion near initial time. We confirm that for wide range of Reynolds number,...

Persistent link: https://www.econbiz.de/10010590769