Edit Profile (opens in new tab) Magdziarz, Marcin Co-Author Distance Author ID: magdziarz.marcin Published as: Magdziarz, Marcin; Magdziarz, M. Documents Indexed: 47 Publications since 2005, including 5 Additional arXiv Preprints Co-Authors: 24 Co-Authors with 36 Joint Publications 418 Co-Co-Authors all top 5 Co-Authors 9 single-authored 9 Zorawik, Tomasz 7 Szczotka, Władysław 7 Żebrowski, Piotr 5 Weron, Aleksander 4 Krzyżanowski, Grzegorz Piotr 3 Teuerle, Marek A. 2 Gajda, Janusz 2 Metzler, Ralf 2 Ślęzak, Jakub Karol 1 Annunziato, Mario 1 Balcerek, Michał 1 Borzì, Alfio 1 Burnecki, Krzysztof 1 Carnaffan, Sean 1 Chechkin, Aleksei V. 1 Dybiec, Bartłomiej 1 Karipova, Gulnur 1 Orzeł, Sebastian 1 Padash, Amin 1 Płociniczak, Łukasz 1 Scheffler, Hans-Peter 1 Schilling, René Leander 1 Shokri, Babak 1 Straka, Peter 1 Taźbierski, Kacper 1 Wójcik, Justyna all top 5 Serials 7 Communications in Nonlinear Science and Numerical Simulation 5 Journal of Statistical Physics 5 Journal of Physics A: Mathematical and Theoretical 3 Stochastic Processes and their Applications 3 Journal of Statistical Mechanics: Theory and Experiment 2 Proceedings of the American Mathematical Society 2 Stochastic Models 1 Computers & Mathematics with Applications 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Physics 1 Studia Mathematica 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Optimal Control Applications & Methods 1 Statistics & Probability Letters 1 Probability and Mathematical Statistics 1 Annals of Physics 1 Chaos 1 Fractional Calculus & Applied Analysis 1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Communications in Contemporary Mathematics all top 5 Fields 34 Probability theory and stochastic processes (60-XX) 17 Statistical mechanics, structure of matter (82-XX) 9 Partial differential equations (35-XX) 7 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Numerical analysis (65-XX) 5 Real functions (26-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Statistics (62-XX) 1 Functional analysis (46-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 36 Publications have been cited 271 times in 185 Documents Cited by ▼ Year ▼ Fractional Langevin equation with \(\alpha\)-stable noise. A link to fractional ARIMA time series. Zbl 1123.60045 Magdziarz, M.; Weron, A. 60 2007 Stochastic representation of subdiffusion processes with time-dependent drift. Zbl 1180.60051 Magdziarz, Marcin 56 2009 Black-Scholes formula in subdiffusive regime. Zbl 1173.82026 Magdziarz, Marcin 38 2009 Asymptotic properties of Brownian motion delayed by inverse subordinators. Zbl 1329.60291 Magdziarz, Marcin; Schilling, René L. 34 2015 Langevin picture of subdiffusion with infinitely divisible waiting times. Zbl 1177.82101 Magdziarz, Marcin 33 2009 Path properties of subdiffusion — a martingale approach. Zbl 1205.60080 Magdziarz, Marcin 30 2010 Ergodic properties of anomalous diffusion processes. Zbl 1227.82058 Magdziarz, Marcin; Weron, Aleksander 25 2011 Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion. Zbl 1291.82094 Magdziarz, Marcin; Gajda, Janusz; Zorawik, Tomasz 17 2014 Option pricing in subdiffusive Bachelier model. Zbl 1269.82053 Magdziarz, Marcin; Orzeł, Sebastian; Weron, Aleksander 16 2011 Langevin picture of Lévy walks and their extensions. Zbl 1243.82034 Magdziarz, Marcin; Szczotka, Władysław; Żebrowski, Piotr 15 2012 Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients. Zbl 1335.60126 Magdziarz, Marcin; Zorawik, Tomasz 13 2016 Limit theorems and governing equations for Lévy walks. Zbl 1330.60058 Magdziarz, M.; Scheffler, H. P.; Straka, P.; Zebrowski, P. 12 2015 Multidimensional Lévy walk and its scaling limits. Zbl 1257.82095 Teuerle, Marek; Żebrowski, Piotr; Magdziarz, Marcin 12 2012 Asymptotic behaviour of random walks with correlated temporal structure. Zbl 1348.82074 Magdziarz, Marcin; Szczotka, Władysław; Żebrowski, Piotr 8 2013 Asymptotic properties and numerical simulation of multidimensional Lévy walks. Zbl 1326.60067 Magdziarz, Marcin; Teuerle, Marek 8 2015 A fractional Fokker-Planck control framework for subdiffusion processes. Zbl 1336.93169 Annunziato, M.; Borzì, A.; Magdziarz, M.; Weron, A. 7 2016 Short and long memory fractional Ornstein-Uhlenbeck \(\alpha\)-stable processes. Zbl 1125.60042 Magdziarz, Marcin 6 2007 Correlated continuous-time random walks – scaling limits and Langevin picture. Zbl 1459.82270 Magdziarz, Marcin; Metzler, Ralf; Szczotka, Wladyslaw; Zebrowski, Piotr 6 2012 Large deviations for subordinated Brownian motion and applications. Zbl 1298.60036 Gajda, Janusz; Magdziarz, Marcin 5 2014 Densities of scaling limits of coupled continuous time random walks. Zbl 1354.26011 Magdziarz, Marcin; Zorawik, Tomasz 5 2016 Correlation cascades, ergodic properties and long memory of infinitely divisible processes. Zbl 1175.60047 Magdziarz, Marcin 5 2009 Lamperti transformation of scaled Brownian motion and related Langevin equations. Zbl 1453.82028 Magdziarz, Marcin 5 2020 Pricing of basket options in subdiffusive fractional Black-Scholes model. Zbl 1376.91160 Karipova, Gulnur; Magdziarz, Marcin 4 2017 First passage time moments of asymmetric Lévy flights. Zbl 1519.60049 Padash, Amin; Chechkin, Aleksei V.; Dybiec, Bartłomiej; Magdziarz, Marcin; Shokri, Babak; Metzler, Ralf 4 2020 Method of calculating densities for isotropic ballistic Lévy walks. Zbl 1510.82036 Magdziarz, Marcin; Zorawik, Tomasz 4 2017 A weighted finite difference method for subdiffusive Black-Scholes model. Zbl 1447.65024 Krzyżanowski, Grzegorz; Magdziarz, Marcin; Płociniczak, Łukasz 4 2020 Fractional diffusion equation with distributed-order material derivative. Stochastic foundations. Zbl 1372.60097 Magdziarz, M.; Teuerle, M. 3 2017 Identification and validation of fractional subdiffusion dynamics. Zbl 1296.60092 Burnecki, Krzysztof; Magdziarz, Marcin; Weron, Aleksander 3 2012 The dependence structure of the fractional Ornstein-Uhlenbeck process. Zbl 1098.60061 Magdziarz, M. 3 2005 Estimation and testing of the Hurst parameter using \(p\)-variation. Zbl 1276.60046 Magdziarz, Marcin; Ślęzak, Jakub Karol; Wójcik, Justyna 3 2013 A note on Maruyama’s mixing theorem. Zbl 05820340 Magdziarz, M. 3 2009 Diffusion limit of Lévy-Lorentz gas is Brownian motion. Zbl 1470.82031 Magdziarz, Marcin; Szczotka, Wladyslaw 3 2018 Ergodic properties of Lévy flights coexisting with subdiffusion and related models. Zbl 1388.60090 Magdziarz, Marcin; Zorawik, Tomasz 1 2018 Limit properties of Lévy walks. Zbl 1519.60047 Magdziarz, Marcin; Zorawik, Tomasz 1 2020 Comment on “Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes”. Zbl 1333.82017 Magdziarz, Marcin; Zorawik, Tomasz 1 2016 Nonlinear dynamics of continuous-time random walks in inhomogeneous medium. Zbl 1441.60035 Carnaffan, Sean; Magdziarz, Marcin; Szczotka, Wladyslaw 1 2020 Lamperti transformation of scaled Brownian motion and related Langevin equations. Zbl 1453.82028 Magdziarz, Marcin 5 2020 First passage time moments of asymmetric Lévy flights. Zbl 1519.60049 Padash, Amin; Chechkin, Aleksei V.; Dybiec, Bartłomiej; Magdziarz, Marcin; Shokri, Babak; Metzler, Ralf 4 2020 A weighted finite difference method for subdiffusive Black-Scholes model. Zbl 1447.65024 Krzyżanowski, Grzegorz; Magdziarz, Marcin; Płociniczak, Łukasz 4 2020 Limit properties of Lévy walks. Zbl 1519.60047 Magdziarz, Marcin; Zorawik, Tomasz 1 2020 Nonlinear dynamics of continuous-time random walks in inhomogeneous medium. Zbl 1441.60035 Carnaffan, Sean; Magdziarz, Marcin; Szczotka, Wladyslaw 1 2020 Diffusion limit of Lévy-Lorentz gas is Brownian motion. Zbl 1470.82031 Magdziarz, Marcin; Szczotka, Wladyslaw 3 2018 Ergodic properties of Lévy flights coexisting with subdiffusion and related models. Zbl 1388.60090 Magdziarz, Marcin; Zorawik, Tomasz 1 2018 Pricing of basket options in subdiffusive fractional Black-Scholes model. Zbl 1376.91160 Karipova, Gulnur; Magdziarz, Marcin 4 2017 Method of calculating densities for isotropic ballistic Lévy walks. Zbl 1510.82036 Magdziarz, Marcin; Zorawik, Tomasz 4 2017 Fractional diffusion equation with distributed-order material derivative. Stochastic foundations. Zbl 1372.60097 Magdziarz, M.; Teuerle, M. 3 2017 Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients. Zbl 1335.60126 Magdziarz, Marcin; Zorawik, Tomasz 13 2016 A fractional Fokker-Planck control framework for subdiffusion processes. Zbl 1336.93169 Annunziato, M.; Borzì, A.; Magdziarz, M.; Weron, A. 7 2016 Densities of scaling limits of coupled continuous time random walks. Zbl 1354.26011 Magdziarz, Marcin; Zorawik, Tomasz 5 2016 Comment on “Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes”. Zbl 1333.82017 Magdziarz, Marcin; Zorawik, Tomasz 1 2016 Asymptotic properties of Brownian motion delayed by inverse subordinators. Zbl 1329.60291 Magdziarz, Marcin; Schilling, René L. 34 2015 Limit theorems and governing equations for Lévy walks. Zbl 1330.60058 Magdziarz, M.; Scheffler, H. P.; Straka, P.; Zebrowski, P. 12 2015 Asymptotic properties and numerical simulation of multidimensional Lévy walks. Zbl 1326.60067 Magdziarz, Marcin; Teuerle, Marek 8 2015 Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion. Zbl 1291.82094 Magdziarz, Marcin; Gajda, Janusz; Zorawik, Tomasz 17 2014 Large deviations for subordinated Brownian motion and applications. Zbl 1298.60036 Gajda, Janusz; Magdziarz, Marcin 5 2014 Asymptotic behaviour of random walks with correlated temporal structure. Zbl 1348.82074 Magdziarz, Marcin; Szczotka, Władysław; Żebrowski, Piotr 8 2013 Estimation and testing of the Hurst parameter using \(p\)-variation. Zbl 1276.60046 Magdziarz, Marcin; Ślęzak, Jakub Karol; Wójcik, Justyna 3 2013 Langevin picture of Lévy walks and their extensions. Zbl 1243.82034 Magdziarz, Marcin; Szczotka, Władysław; Żebrowski, Piotr 15 2012 Multidimensional Lévy walk and its scaling limits. Zbl 1257.82095 Teuerle, Marek; Żebrowski, Piotr; Magdziarz, Marcin 12 2012 Correlated continuous-time random walks – scaling limits and Langevin picture. Zbl 1459.82270 Magdziarz, Marcin; Metzler, Ralf; Szczotka, Wladyslaw; Zebrowski, Piotr 6 2012 Identification and validation of fractional subdiffusion dynamics. Zbl 1296.60092 Burnecki, Krzysztof; Magdziarz, Marcin; Weron, Aleksander 3 2012 Ergodic properties of anomalous diffusion processes. Zbl 1227.82058 Magdziarz, Marcin; Weron, Aleksander 25 2011 Option pricing in subdiffusive Bachelier model. Zbl 1269.82053 Magdziarz, Marcin; Orzeł, Sebastian; Weron, Aleksander 16 2011 Path properties of subdiffusion — a martingale approach. Zbl 1205.60080 Magdziarz, Marcin 30 2010 Stochastic representation of subdiffusion processes with time-dependent drift. Zbl 1180.60051 Magdziarz, Marcin 56 2009 Black-Scholes formula in subdiffusive regime. Zbl 1173.82026 Magdziarz, Marcin 38 2009 Langevin picture of subdiffusion with infinitely divisible waiting times. Zbl 1177.82101 Magdziarz, Marcin 33 2009 Correlation cascades, ergodic properties and long memory of infinitely divisible processes. Zbl 1175.60047 Magdziarz, Marcin 5 2009 A note on Maruyama’s mixing theorem. Zbl 05820340 Magdziarz, M. 3 2009 Fractional Langevin equation with \(\alpha\)-stable noise. A link to fractional ARIMA time series. Zbl 1123.60045 Magdziarz, M.; Weron, A. 60 2007 Short and long memory fractional Ornstein-Uhlenbeck \(\alpha\)-stable processes. Zbl 1125.60042 Magdziarz, Marcin 6 2007 The dependence structure of the fractional Ornstein-Uhlenbeck process. Zbl 1098.60061 Magdziarz, M. 3 2005 all cited Publications top 5 cited Publications all top 5 Cited by 295 Authors 17 Magdziarz, Marcin 8 Wyłomańska, Agnieszka 7 Toaldo, Bruno 6 Kobayashi, Kei 6 Sikora, Grzegorz 5 Annunziato, Mario 5 Borzì, Alfio 5 Lv, Longjin 5 Zorawik, Tomasz 4 Beghin, Luisa 4 Guo, Zhidong 4 Henry, Bruce I. 4 Ren, Fuyao 4 Ricciuti, Costantino 4 Schilling, René Leander 4 Szczotka, Władysław 4 Weron, Aleksander 4 Żebrowski, Piotr 3 Barkai, Eli 3 Burnecki, Krzysztof 3 Camilli, Fabio 3 Carnaffan, Sean 3 Didier, Gustavo 3 Dybiec, Bartłomiej 3 Gajda, Janusz 3 Gu, Hui 3 Kawai, Reiichiro 3 Lenci, Marco 3 Li, Risong 3 Liang, Jinrong 3 Metzler, Ralf 3 Pagnini, Gianni 3 Qiu, Weiyuan 3 Straka, Peter 3 Tang, Qing 3 Teuerle, Marek A. 2 Angstmann, Christopher N. 2 Bianchi, Alessandra 2 Boniece, B. Cooper 2 Kinderknecht, Yana A. 2 Cairoli, Andrea 2 Capała, Karol 2 Capitanelli, Raffaela 2 Cénac, Peggy 2 Chechkin, Aleksei V. 2 Chen, Zhen-Qing 2 Dattoli, Giuseppe 2 de Loynes, Basile 2 Deng, Changsong 2 Deng, Weihua 2 D’Ovidio, Mirko 2 Gaviraghi, Beatrice 2 Górska, Katarzyna 2 Jin, Sixian 2 Kondrat’yev, Yuriĭ Grygorovych 2 Langlands, T. A. M. 2 Lawley, Sean D. 2 Leonenko, Nikolai N. 2 Li, Junping 2 Liu, Wei 2 Lu, Tianxiu 2 Macci, Claudio 2 Meerschaert, Mark Marvin 2 Nane, Erkan 2 Ni, Yinan 2 Offret, Yoann 2 Orzeł, Sebastian 2 Paradisi, Paolo 2 Połoczański, Rafał 2 Sabzikar, Farzad 2 Sandev, Trifce 2 Sikorskii, Alla 2 Sousa, Ercília 2 Toniazzi, Lorenzo 2 Wang, Jun 2 Wang, Luna 2 Wang, Xianhong 2 Xu, Pengbo 2 Zhang, Yunliang 2 Zhang, Yunxiu 2 Zhu, Min 1 Akimoto, Takuma 1 Alexander, Amanda M. 1 Almeida, Ricardo 1 Amir, Ariel 1 Anh, Vo V. 1 Artuso, Roberto 1 Ascione, Giacomo 1 Bai, Zhongzhi 1 Balcerek, Michał 1 Băleanu, Dumitru I. 1 Baule, Adrian 1 Bäumer, Boris 1 Bayer, Christian 1 Bender, Christian 1 Berger, David 1 Bet, Gianmarco 1 Blavatska, Viktoria 1 Bologna, Mauro 1 Carmi, Shai ...and 195 more Authors all top 5 Cited in 73 Serials 23 Journal of Physics A: Mathematical and Theoretical 15 Journal of Statistical Physics 12 Fractional Calculus & Applied Analysis 8 Journal of Mathematical Analysis and Applications 8 Stochastic Processes and their Applications 7 Physica A 7 Communications in Nonlinear Science and Numerical Simulation 5 Statistics & Probability Letters 4 Chaos 3 Chaos, Solitons and Fractals 3 BIT 3 Proceedings of the American Mathematical Society 3 Applied Numerical Mathematics 3 SIAM Journal on Applied Mathematics 3 Journal of Statistical Mechanics: Theory and Experiment 3 ALEA. Latin American Journal of Probability and Mathematical Statistics 3 Journal of Nonlinear Science and Applications 2 Journal of Computational Physics 2 Journal of Mathematical Biology 2 Journal of Mathematical Physics 2 Applied Mathematics and Computation 2 Journal of Time Series Analysis 2 Probability and Mathematical Statistics 2 Journal of Theoretical Probability 2 SIAM Journal on Mathematical Analysis 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Electronic Journal of Probability 2 Discrete Dynamics in Nature and Society 2 Mathematical Modelling of Natural Phenomena 2 Advances in Mathematical Physics 2 AIMS Mathematics 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 Communications in Mathematical Physics 1 Inverse Problems 1 Lithuanian Mathematical Journal 1 Journal of Computational and Applied Mathematics 1 Journal of Econometrics 1 Journal of Functional Analysis 1 Transactions of the American Mathematical Society 1 Optimal Control Applications & Methods 1 Stochastic Analysis and Applications 1 Acta Mathematicae Applicatae Sinica. English Series 1 Revista Matemática Iberoamericana 1 Applied Mathematics Letters 1 Journal of Scientific Computing 1 Machine Learning 1 Economics Letters 1 The Annals of Applied Probability 1 Numerical Algorithms 1 Applied Mathematical Modelling 1 Communications in Statistics. Simulation and Computation 1 International Journal of Computer Mathematics 1 Journal of Statistical Computation and Simulation 1 SIAM Journal on Scientific Computing 1 Bernoulli 1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Statistical Inference for Stochastic Processes 1 Communications in Contemporary Mathematics 1 Methodology and Computing in Applied Probability 1 Annales Mathematicae Silesianae 1 Quantitative Finance 1 Discrete and Continuous Dynamical Systems. Series B 1 Journal of Applied Mathematics 1 Central European Journal of Mathematics 1 The European Physical Journal B. Condensed Matter and Complex Systems 1 Journal of Probability and Statistics 1 Dynamic Games and Applications 1 Evolution Equations and Control Theory 1 Journal of Dynamics and Games 1 EMS Surveys in Mathematical Sciences 1 Journal of Function Spaces 1 Modern Stochastics. Theory and Applications all top 5 Cited in 28 Fields 133 Probability theory and stochastic processes (60-XX) 63 Partial differential equations (35-XX) 57 Statistical mechanics, structure of matter (82-XX) 25 Numerical analysis (65-XX) 20 Real functions (26-XX) 18 Statistics (62-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Calculus of variations and optimal control; optimization (49-XX) 8 Ordinary differential equations (34-XX) 7 Special functions (33-XX) 7 Dynamical systems and ergodic theory (37-XX) 7 Systems theory; control (93-XX) 5 Integral equations (45-XX) 4 Biology and other natural sciences (92-XX) 3 General topology (54-XX) 2 Operator theory (47-XX) 2 Fluid mechanics (76-XX) 2 Operations research, mathematical programming (90-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Approximations and expansions (41-XX) 1 Computer science (68-XX) 1 Quantum theory (81-XX) 1 Relativity and gravitational theory (83-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year