Limit theorems for coupled continuous time random walks.

DOI10.1214/AOP/1079021462zbMath1054.60052OpenAlexW2090039668MaRDI QIDQ1879867

Mark M. Meerschaert, Hans-Peter Scheffler, Peter Becker-Kern

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1079021462

zbMATH Keywords

waiting timeinfinitely divisible distributionscontinuous time random walklimit theoremsanomalous diffusionjump processesLévy measurerenewal processLévy walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Functional limit theorems; invariance principles (60F17)

Related Items (67)

The influence of the finite velocity on spatial distribution of particles in the frame of levy walk model ⋮ Correlated continuous time random walk and option pricing ⋮ Reflected spectrally negative stable processes and their governing equations ⋮ Limit theorems for some continuous-time random walks ⋮ Laws of the iterated logarithm for a class of iterated processes ⋮ ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ 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 ⋮ On the convergence of quadratic variation for compound fractional Poisson processes ⋮ Limit theorems of continuous-time random walks with tails ⋮ Derivation of Feynman-Kac and Bloch-Torrey equations in a trapping medium ⋮ Modeling and simulation with operator scaling ⋮ Asymptotic properties of Brownian motion delayed by inverse subordinators ⋮ Option pricing based on modified advection-dispersion equation: stochastic representation and applications ⋮ Large deviations for subordinated fractional Brownian motion and applications ⋮ Functional convergence of continuous-time random walks with continuous paths ⋮ Semi-Markov approach to continuous time random walk limit processes ⋮ Chung-type law of the iterated logarithm for continuous time random walk ⋮ An optimal error estimate for the two-dimensional nonlinear time fractional advection-diffusion equation with smooth and non-smooth solutions ⋮ An implicit difference scheme with the KPS preconditioner for two-dimensional time-space fractional convection-diffusion equations ⋮ From semi-Markov random evolutions to scattering transport and superdiffusion ⋮ 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 ⋮ A renormalization group classification of nonstationary and/or infinite second moment diffusive processes ⋮ Langevin picture of Lévy walks and their extensions ⋮ Complementary Densities of Lévy Walks: Typical and Rare Fluctuations ⋮ Nonlinear dynamics of continuous-time random walks in inhomogeneous medium ⋮ The Calderón Problem for a Space-Time Fractional Parabolic Equation ⋮ Fractal dimension results for continuous time random walks ⋮ Uniform convergence of exact large deviations for renewal reward processes ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ Large deviations for local time fractional Brownian motion and applications ⋮ Limit theorems and governing equations for Lévy walks ⋮ Censored stable subordinators and fractional derivatives ⋮ The stochastic nature of complexity evolution in the fractional systems ⋮ Persistent random walks. II. Functional scaling limits ⋮ Densities of scaling limits of coupled continuous time random walks ⋮ Local time and first return time for periodic semi-flows ⋮ Triangular array limits for continuous time random walks ⋮ From tick data to semimartingales ⋮ Upscaling Lévy motions in porous media with long range correlations ⋮ Stochastic representation and Monte Carlo simulation for multiterm time-fractional diffusion equation ⋮ Finite dimensional Fokker-Planck equations for continuous time random walk limits ⋮ Chover-type laws of the iterated logarithm for continuous time random walks ⋮ Limit theorems for continuous time random walks with slowly varying waiting times ⋮ Lagging and leading coupled continuous time random walks, renewal times and their joint limits ⋮ Activity rates with very heavy tails ⋮ Space-time fractional derivative operators ⋮ Correlated continuous time random walk with time averaged waiting time ⋮ 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 ⋮ Limit theorems for the fractional nonhomogeneous Poisson process ⋮ An elementary approach to subdiffusion ⋮ Brownian subordinators and fractional Cauchy problems ⋮ Fokker–Planck and Kolmogorov backward equations for continuous time random walk scaling limits ⋮ Space–Time Duality for Fractional Diffusion ⋮ Asymptotic mean value formulas, nonlocal space-time parabolic operators and anomalous tug-of-war games ⋮ Limit theorems for prices of options written on semi-Markov processes ⋮ Limit properties of Lévy walks ⋮ Fractional diffusion equation with distributed-order material derivative. Stochastic foundations ⋮ Lévy walk dynamics in an external constant force field in non-static media

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fractional kinetic equation for Hamiltonian chaos
• Random walks with infinite spatial and temporal moments
• Asymptotic distributions of continuous-time random walks: A probabilistic approach
• Stochastic-Process Limits
• Stochastic solution of space-time fractional diffusion equations
• Random Walks on Lattices. II
• Some Useful Functions for Functional Limit Theorems
• Space-time fractional derivative operators
• Fractional kinetic equations: solutions and applications
• Chance and Stability
• Limit theorems for occupation times of Markov processes
• Weak Convergence of Stochastic Processes Defined on Semi-Infinite Time Intervals
• Regularly varying functions
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

This page was built for publication: Limit theorems for coupled continuous time random walks.