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Journal Articles Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques Year : 2018

Interpolation process between standard diffusion and fractional diffusion

Abstract

We consider a Hamiltonian lattice field model with two conserved quantities, energy and volume, perturbed by stochastic noise preserving the two previous quantities. It is known that this model displays anomalous diffusion of energy of fractional type due to the conservation of the volume [5, 3]. We superpose to this system a second stochastic noise conserving energy but not volume. If the intensity of this noise is of order one, normal diffusion of energy is restored while it is without effect if intensity is sufficiently small. In this paper we investigate the nature of the energy fluctuations for a critical value of the intensity. We show that the latter are described by an Ornstein-Uhlenbeck process driven by a Lévy process which interpolates between Brownian motion and the maximally asymmetric 3/2-stable Lévy process. This result extends and solves a problem left open in [4].
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Dates and versions

hal-01348503 , version 1 (25-07-2016)
hal-01348503 , version 2 (15-08-2017)

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Cédric Bernardin, Patricia Gonçalves, Milton Jara, Marielle Simon. Interpolation process between standard diffusion and fractional diffusion. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2018, 54 (3), pp.1731 - 1757. ⟨10.1214/17-AIHP853⟩. ⟨hal-01348503v2⟩
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