Exact distributions of the maximum and range of random diffusivity processes
We study the extremal properties of a stochastic process x _t defined by the Langevin equation ${\dot {x}}_{t}=\sqrt{2{D}_{t}}\enspace {\xi }_{t}$ , in which ξ _t is a Gaussian white noise with zero mean and D _t is a stochastic ‘diffusivity’, defined as a functional of independent Brownian motion B...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2021-01-01
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| Series: | New Journal of Physics |
| Subjects: | |
| Online Access: | https://doi.org/10.1088/1367-2630/abd313 |