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Generalized continuous-time random walks, subordination by hitting times, and fractional dynamics

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Kolokoltsov, V. N. (Vasiliĭ Nikitich). (2009) Generalized continuous-time random walks, subordination by hitting times, and fractional dynamics. Theory of Probability and its Applications, Vol.53 (No.4). pp. 594-609. ISSN 0040-585X

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Official URL: http://dx.doi.org/10.1137/S0040585X97983857

Abstract

Functional limit theorems for continuous-time 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:	0040-585X
Date:	2009
Volume:	Vol.53
Number:	No.4
Number of Pages:	16
Page Range:	pp. 594-609
Identification Number:	10.1137/S0040585X97983857
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/16656