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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 
Volume:  Vol.53 
Number:  No.4 
Number of Pages:  16 
Page Range:  pp. 594609 
Identification Number:  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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