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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. doi:10.1137/S0040585X97983857
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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 | ||||
| Official Date: | 2009 | ||||
| Dates: |
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| Volume: | Vol.53 | ||||
| Number: | No.4 | ||||
| Number of Pages: | 16 | ||||
| Page Range: | pp. 594-609 | ||||
| DOI: | 10.1137/S0040585X97983857 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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