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Probability and Computational Finance Seminar
Gautam Iyer
Carnegie Mellon University
Title: Anomalous diffusion of tracer particles in fast cellular flows.

Abstract: It is well known that a diffusive tracer particle in the presence of an array of strong opposing vortices (aka cellular flow) behaves like an effective Brownian motion on long time scales. On intermediate time scales, however, a robust anomalous diffusive behaviour was numerically observed by W. Young. This talk is a first step towards understanding this anomalous behaviour. We will show that the variance of the particle behaves like $O(\sqrt{t})$ on ``intermediate'' time scales; in contrast, the long time behaviour of the variance is like $O(t)$. This is joint work with A. Novikov.

Date: Monday, September 22, 2014
Time: 5:00 pm
Location: Porter Hall 226C
Submitted by:  Dmitry Kramkov