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Generalized continuoustime random walks, subordination by hitting times, and fractional dynamics
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Kolokoltsov, V. N. (Vasiliĭ Nikitich). (2009) Generalized continuoustime random walks, subordination by hitting times, and fractional dynamics. Theory of Probability and its Applications, Vol.53 (No.4). pp. 594609. ISSN 0040585X

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Official URL: http://dx.doi.org/10.1137/S0040585X97983857
Abstract
Functional limit theorems for continuoustime random walks (CTRW) are found in the general case of dependent waiting times and jump sizes that are also position dependent. The limiting anomalous diffusion is described in terms of fractional dynamics. Probabilistic interpretation of generalized fractional evolution is given in terms of the random time change (subordination) by means of hitting times processes.
Item Type:  Journal Article  

Subjects:  Q Science > QA Mathematics  
Divisions:  Faculty of Science > Statistics  
Library of Congress Subject Headings (LCSH):  Random walks (Mathematics)  
Journal or Publication Title:  Theory of Probability and its Applications  
Publisher:  Siam Publications  
ISSN:  0040585X  
Official Date:  2009  
Dates: 


Volume:  Vol.53  
Number:  No.4  
Number of Pages:  16  
Page Range:  pp. 594609  
Identifier:  10.1137/S0040585X97983857  
Status:  Peer Reviewed  
Publication Status:  Published  
Access rights to Published version:  Restricted or Subscription Access  
References:  [1] R. F. Bass, Uniqueness in law for pure jump Markov processes, Probab. Theory Related Fields, 

URI:  http://wrap.warwick.ac.uk/id/eprint/16656 
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