Single integro-differential wave equation for L\'evy walk

The integro-differential wave equation for the probability density function for a classical one-dimensional L\'evy walk with continuous sample paths has been derived. This equation involves a classical wave operator together with memory integrals describing the spatio-temporal coupling of the L\'evy walk. It is valid for any running time PDF and it does not involve any long-time large-scale approximations. It generalizes the well-known telegraph equation obtained from the persistent random walk. Several non-Markovian cases are considered when the particle's velocity alternates at the gamma and power-law distributed random times.Comment: 5 page

Nonlinear subdiffusive fractional equations and aggregation phenomenon

In this article we address the problem of the nonlinear interaction of subdiffusive particles. We introduce the random walk model in which statistical characteristics of a random walker such as escape rate and jump distribution depend on the mean field density of particles. We derive a set of nonlinear subdiffusive fractional master equations and consider their diffusion approximations. We show that these equations describe the transition from an intermediate subdiffusive regime to asymptotically normal advection-diffusion transport regime. This transition is governed by nonlinear tempering parameter that generalizes the standard linear tempering. We illustrate the general results through the use of the examples from cell and population biology. We find that a nonuniform anomalous exponent has a strong influence on the aggregation phenomenon.Comment: 10 page

Asymptotic behavior of the solution of the space dependent variable order fractional diffusion equation: ultra-slow anomalous aggregation

We find for the first time the asymptotic representation of the solution to the space dependent variable order fractional diffusion and Fokker-Planck equations. We identify a new advection term that causes ultra-slow spatial aggregation of subdiffusive particles due to dominance over the standard advection and diffusion terms, in the long-time limit. This uncovers the anomalous mechanism by which non-uniform distributions can occur. We perform experiments on intracellular lysosomal distributions and Monte Carlo simulations and find excellent agreement between the asymptotic solution, particle histograms and experiments.Comment: 6 page

Emergence of L\'{e}vy Walks in Systems of Interacting Individuals

Recent experiments (G. Ariel, et al., Nature Comm. 6, 8396 (2015)) revealed an intriguing behavior of swarming bacteria: they fundamentally change their collective motion from simple diffusion into a superdiffusive L\'{e}vy walk dynamics. We introduce a nonlinear non-Markovian persistent random walk model that explains the emergence of superdiffusive L\'{e}vy walks. We show that the alignment interaction between individuals can lead to the superdiffusive growth of the mean squared displacement and the power law distribution of run length with infinite variance. The main result is that the superdiffusive behavior emerges as a nonlinear collective phenomenon, rather than due to the standard assumption of the power law distribution of run distances from the inception. At the same time, we find that the repulsion/collision effects lead to the density dependent exponential tempering of power law distributions. This qualitatively explains experimentally observed transition from superdiffusion to the diffusion of mussels as their density increases (M. de Jager et al., Proc. R. Soc. B 281, 20132605 (2014))

Long memory stochastic volatility in option pricing

The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the fact the option price and random volatility change on different time scales, we find the asymptotic equation for the derivation involving fractional Brownian motion. The solution to this equation allows us to find the pricing bands for options

Stochastic arbitrage return and its implications for option pricing

The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility "smile" can also be explained in terms of random arbitrage opportunities.Comment: 14 pages, 3 fiqure

Sub-diffusion in External Potential: Anomalous hiding behind Normal

We propose a model of sub-diffusion in which an external force is acting on a particle at all times not only at the moment of jump. The implication of this assumption is the dependence of the random trapping time on the force with the dramatic change of particles behavior compared to the standard continuous time random walk model. Constant force leads to the transition from non-ergodic sub-diffusion to seemingly ergodic diffusive behavior. However, we show it remains anomalous in a sense that the diffusion coefficient depends on the force and the anomalous exponent. For the quadratic potential we find that the anomalous exponent defines not only the speed of convergence but also the stationary distribution which is different from standard Boltzmann equilibrium.Comment: 6 pages, 3 figure

Nonlinear degradation enhanced transport of morphogens performing subdiffusion

We study a morphogen gradient formation under nonlinear degradation and subdiffusive transport. In the long time limit we obtain the nonlinear effect of degradation enhanced diffusion, resulting from the interaction of non-Markovian subdiffusive transport with a nonlinear reaction. We find the stationary profile of power-law type, which has implications for robustness, with the shape of the profile being controlled by the anomalous exponent. Far away from the source of morphogens, any changes in rate of production are not felt.Comment: 7 page