Lagging and leading coupled continuous time random walks, renewal times and their joint limits

DOI10.1016/j.spa.2010.10.003zbMath1219.60048arXiv1005.2369OpenAlexW2122688319MaRDI QIDQ550136

B. I. Henry, Peter Straka

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.2369

zbMATH Keywords

subordinationcontinuous time random walkLévy processSkorokhod spacesubdiffusiontime-changetriangular arrayrenewal timesstochastic process limit

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Functional limit theorems; invariance principles (60F17)

Related Items (42)

Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system ⋮ Limit theorems for some continuous-time random walks ⋮ Optimal statistical inference for subdiffusion processes ⋮ Variable order fractional Fokker-Planck equations derived from continuous time random walks ⋮ Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations ⋮ On a directionally reinforced random walk ⋮ Fractional governing equations for coupled random walks ⋮ Random walks in a strongly sparse random environment ⋮ Semi-Markov models and motion in heterogeneous media ⋮ Functional convergence of continuous-time random walks with continuous paths ⋮ Semi-Markov approach to continuous time random walk limit processes ⋮ Fractional dynamics at multiple times ⋮ Limit theorems for coupled continuous time random walks ⋮ Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics ⋮ Quenched trap model for Lévy flights ⋮ Weak quenched limit theorems for a random walk in a sparse random environment ⋮ Langevin picture of Lévy walks and their extensions ⋮ Functional limit theorems for random walks perturbed by positive alpha-stable jumps ⋮ A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process ⋮ A Semi-Markov Algorithm for Continuous Time Random Walk Limit Distributions ⋮ Complementary Densities of Lévy Walks: Typical and Rare Fluctuations ⋮ Nonlinear dynamics of continuous-time random walks in inhomogeneous medium ⋮ Fractal dimension results for continuous time random walks ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ Correlated continuous-time random walks—scaling limits and Langevin picture ⋮ Limit theorems and governing equations for Lévy walks ⋮ Persistent random walks. II. Functional scaling limits ⋮ Correlated continuous time random walks and fractional Pearson diffusions ⋮ Finite dimensional Fokker-Planck equations for continuous time random walk limits ⋮ On discrete-time semi-Markov processes ⋮ Coupled continuous time random maxima ⋮ Asymptotic properties and numerical simulation of multidimensional Lévy walks ⋮ Weak error for continuous time Markov chains related to fractional in time P(I)DEs ⋮ Space-time coupled evolution equations and their stochastic solutions ⋮ Recurrence of multidimensional persistent random walks. Fourier and series criteria ⋮ Coupled continuous time-random walks in quenched random environment ⋮ Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion ⋮ Asymptotic behaviour of random walks with correlated temporal structure ⋮ Fokker–Planck and Kolmogorov backward equations for continuous time random walk scaling limits ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology ⋮ Generalized Continuous Time Random Walks, Master Equations, and Fractional Fokker--Planck Equations ⋮ Fractional diffusion equation with distributed-order material derivative. Stochastic foundations

Cites Work

• Fractional governing equations for coupled random walks
• Triangular array limits for continuous time random walks
• Limit theorems for mixed max-sum processes with renewal stopping
• Waiting-times and returns in high-frequency financial data: An empirical study
• Limit theorems for coupled continuous time random walks.
• Asymptotic distributions of continuous-time random walks: A probabilistic approach
• Stochastic-Process Limits
• Random Walks on Lattices. II
• Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics
• Limit theorem for continuous-time random walks with two time scales
• Markov additive processes. II
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Lagging and leading coupled continuous time random walks, renewal times and their joint limits