ICTS:31617

Video URL

Multifractional Brownian motion with telegraphic, stochastically varying exponent

Multifractional Brownian motion with telegraphic, stochastically varying exponent

(2025). Multifractional Brownian motion with telegraphic, stochastically varying exponent. SciVideos. https://youtu.be/8T52hKgsE58

Multifractional Brownian motion with telegraphic, stochastically varying exponent. SciVideos, Apr. 25, 2025, https://youtu.be/8T52hKgsE58 

          @misc{ scivideos_ICTS:31617,
            doi = {},
            url = {https://youtu.be/8T52hKgsE58},
            author = {},
            keywords = {},
            language = {en},
            title = {Multifractional Brownian motion with telegraphic, stochastically varying exponent},
            publisher = {},
            year = {2025},
            month = {apr},
            note = {ICTS:31617 see, \url{https://scivideos.org/icts-tifr/31617}}
          }
Samudrajit Thapa
Talk numberICTS:31617
Source RepositoryICTS-TIFR
Collection

Abstract

The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. In this talk I will present a simple, analytically tractable model which fills the gap between mathematical formulations of multifractional Brownian motion and empirical studies. In the model, called telegraphic multifractional Brownian motion (TeMBM), the Hurst exponent is modelled by a smoothed telegraph process which results in a stationary beta distribution of exponents as observed in biological experiments. I will also discuss a methodology to identify TeMBM in experimental data and present concrete examples from biology, climate and finance to demonstrate the efficacy of the presented approach.