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Fractional kinetic equations driven by Gaussian or infinitely divisible noise

Angulo, Jose M., Anh, Vo V., McVinish, Ross S., & Ruiz-Medina, Maria D. (2005) Fractional kinetic equations driven by Gaussian or infinitely divisible noise. Advances in Applied Probability, 37(2), pp. 366-392.

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Abstract

This paper considers certain fractional (in space and in time) kinetic equations with Gaussian or infinitely divisible noise input. The solutions to the equation are provided for both cases of bounded and unbounded domains, in conjunction with bounds for the variances of the increments. The role of each of the parameters in the equation is investigated with respect to second- and higher-order properties. In particular, it is shown that long-range dependence may arise in the temporal solution under certain conditions on the spatial operators.

Impact and interest:

11 citations in Scopus
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10 citations in Web of Science®

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Full-text downloads:

134 since deposited on 12 Mar 2007
9 in the past twelve months

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ID Code: 6413
Item Type: Journal Article
Keywords: Fractional diffusion, fractional heat equation, fractional kinetic equation, long, range dependence
DOI: 10.1239/aap/1118858630
ISSN: 0001-8678
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2005 Applied Probability Trust
Copyright Statement: Reproduced in accordance with the copyright policy of the publisher.
Deposited On: 12 Mar 2007
Last Modified: 29 Feb 2012 23:17

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