Generation-by-generation dissection of the response function in long memory epidemic processes

In a number of natural and social systems, the response to an exogenous shock relaxes back to the average level according to a long-memory kernel ~1/t1+θ with 0 ≤ θ 1 and we find in this case that the total renormalized response is a constant for t < 1/(1-n) followed by a cross-over to ~1/t1+θ for t ≫ 1/(1-n

From Diffusion to Anomalous Diffusion: A Century after Einstein's Brownian Motion

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term memory. The coarse-grained behavior of such processes is described by the diffusion equation. However, many natural processes do not possess the Markovian property and exhibit to anomalous diffusion. We consider here the case of subdiffusive processes, which are semi-Markovian and correspond to continuous-time random walks in which the waiting time for a step is given by a probability distribution with a diverging mean value. Such a process can be considered as a process subordinated to normal diffusion under operational time which depends on this pathological waiting-time distribution. We derive two different but equivalent forms of kinetic equations, which reduce to know fractional diffusion or Fokker-Planck equations for waiting-time distributions following a power-law. For waiting time distributions which are not pure power laws one or the other form of the kinetic equation is advantageous, depending on whether the process slows down or accelerates in the course of time

Models of Passive and Reactive Tracer Motion: an Application of Ito Calculus

By means of Ito calculus it is possible to find, in a straight-forward way, the analytical solution to some equations related to the passive tracer transport problem in a velocity field that obeys the multidimensional Burgers equation and to a simple model of reactive tracer motion.Comment: revised version 7 pages, Latex, to appear as a letter to J. of Physics

Generating Functions and Stability Study of Multivariate Self-Excited Epidemic Processes

We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges in social communities, interactions between Internet bloggers, bank network fragility and cascading of failures, national sovereign default contagion, and so on. We present the general theory of multivariate generating functions to derive the number of events over all generations of various types that are triggered by a mother event of a given type. We obtain the stability domains of various systems, as a function of the topological structure of the mutual excitations across different event types. We find that mutual triggering tends to provide a significant extension of the stability (or subcritical) domain compared with the case where event types are decoupled, that is, when an event of a given type can only trigger events of the same type.Comment: 27 pages, 8 figure

Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation

We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the stochastic solution of the Cauchy problem for a partial differential equation with fractional derivatives both in space and in time. The one-parameter Mittag-Leffler function is the natural survival probability leading to time-fractional diffusion equations. Transformation methods for Mittag-Leffler random variables were found later than the well-known transformation method by Chambers, Mallows, and Stuck for Levy alpha-stable random variables and so far have not received as much attention; nor have they been used together with the latter in spite of their mathematical relationship due to the geometric stability of the Mittag-Leffler distribution. Combining the two methods, we obtain an accurate approximation of space- and time-fractional diffusion processes almost as easy and fast to compute as for standard diffusion processes.Comment: 7 pages, 5 figures, 1 table. Presented at the Conference on Computing in Economics and Finance in Montreal, 14-16 June 2007; at the conference "Modelling anomalous diffusion and relaxation" in Jerusalem, 23-28 March 2008; et

An Alternative Method for Solving a Certain Class of Fractional Kinetic Equations

An alternative method for solving the fractional kinetic equations solved earlier by Haubold and Mathai (2000) and Saxena et al. (2002, 2004a, 2004b) is recently given by Saxena and Kalla (2007). This method can also be applied in solving more general fractional kinetic equations than the ones solved by the aforesaid authors. In view of the usefulness and importance of the kinetic equation in certain physical problems governing reaction-diffusion in complex systems and anomalous diffusion, the authors present an alternative simple method for deriving the solution of the generalized forms of the fractional kinetic equations solved by the aforesaid authors and Nonnenmacher and Metzler (1995). The method depends on the use of the Riemann-Liouville fractional calculus operators. It has been shown by the application of Riemann-Liouville fractional integral operator and its interesting properties, that the solution of the given fractional kinetic equation can be obtained in a straight-forward manner. This method does not make use of the Laplace transform.Comment: 7 pages, LaTe

Turbulence and passive scalar transport in a free-slip surface

We consider the two-dimensional (2D) flow in a flat free-slip surface that bounds a three-dimensional (3D) volume in which the flow is turbulent. The equations of motion for the two-dimensional flow in the surface are neither compressible nor incompressible but strongly influenced by the 3D flow underneath the surface. The velocity correlation functions in the 2D surface and in the 3D volume scale with the same exponents. In the viscous subrange the amplitudes are the same, but in the inertial subrange the 2D one is reduced to 2/3 of the 3D amplitude. The surface flow is more strongly intermittent than the 3D volume flow. Geometric scaling theory is used to derive a relation between the scaling of the velocity field and the density fluctuations of a passive scalar advected on the surface.Comment: 11 pages, 10 Postscript figure

Fractional Quantum Mechanics

A path integral approach to quantum physics has been developed. Fractional path integrals over the paths of the L\'evy flights are defined. It is shown that if the fractality of the Brownian trajectories leads to standard quantum and statistical mechanics, then the fractality of the L\'evy paths leads to fractional quantum mechanics and fractional statistical mechanics. The fractional quantum and statistical mechanics have been developed via our fractional path integral approach. A fractional generalization of the Schr\"odinger equation has been found. A relationship between the energy and the momentum of the nonrelativistic quantum-mechanical particle has been established. The equation for the fractional plane wave function has been obtained. We have derived a free particle quantum-mechanical kernel using Fox's H function. A fractional generalization of the Heisenberg uncertainty relation has been established. Fractional statistical mechanics has been developed via the path integral approach. A fractional generalization of the motion equation for the density matrix has been found. The density matrix of a free particle has been expressed in terms of the Fox's H function. We also discuss the relationships between fractional and the well-known Feynman path integral approaches to quantum and statistical mechanics.Comment: 27 page

Fractional transport equations for Levy stable processes

The influence functional method of Feynman and Vernon is used to obtain a quantum master equation for a Brownian system subjected to a Levy stable random force. The corresponding classical transport equations for the Wigner function are then derived, both in the limit of weak and strong friction. These are fractional extensions of the Klein-Kramers and the Smoluchowski equations. It is shown that the fractional character acquired by the position in the Smoluchowski equation follows from the fractional character of the momentum in the Klein-Kramers equation. Connections among fractional transport equations recently proposed are clarified.Comment: 4 page

Residence Time Statistics for Normal and Fractional Diffusion in a Force Field

We investigate statistics of occupation times for an over-damped Brownian particle in an external force field. A backward Fokker-Planck equation introduced by Majumdar and Comtet describing the distribution of occupation times is solved. The solution gives a general relation between occupation time statistics and probability currents which are found from solutions of the corresponding problem of first passage time. This general relationship between occupation times and first passage times, is valid for normal Markovian diffusion and for non-Markovian sub-diffusion, the latter modeled using the fractional Fokker-Planck equation. For binding potential fields we find in the long time limit ergodic behavior for normal diffusion, while for the fractional framework weak ergodicity breaking is found, in agreement with previous results of Bel and Barkai on the continuous time random walk on a lattice. For non-binding potential rich physical behaviors are obtained, and classification of occupation time statistics is made possible according to whether or not the underlying random walk is recurrent and the averaged first return time to the origin is finite. Our work establishes a link between fractional calculus and ergodicity breaking.Comment: 12 page