Correlated continuous time random walks

Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)

Abstract: Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy tailed jumps, and the time-fractional version codes heavy tailed waiting times. This paper develops scaling limits and governing equations in the case of correlated jumps. For long-range dependent jumps, this leads to fractional Brownian motion or linear fractional stable motion, with the time parameter replaced by an inverse stable subordinator in the case of heavy tailed waiting times. These scaling limits provide an interesting class of non-Markovian, non-Gaussian self-similar processes.

Review text

Let \((Z_j: j\in \mathbb{Z})\) and \((J_k: k\in \mathbb{N})\), \(J_k>0\), be independent sequences of i.i.d. random variables, and \((N_t: t\geq 0)\) be a renewal process generated by the \(J_k\)'s. Assume that the laws of \(Z_1\) and \(J_1\) belong to the domains of attraction of a strictly \(\alpha\)-stable law, \(\alpha\in (0,2]\), and of a \(\beta\)-stable law, \(\beta\in (0,1)\), respectively. Define \(Y_n:=\sum_{j=0}^\infty c_j Z_{n-j}\), \(n\in \mathbb{Z}\) for some real constants \(c_j\) satisfying certain conditions which, among others, ensure the a.s. convergence of the latter series. Depending on summability properties of \(c_j\)'s, the paper under review proves four weak convergence results for, properly scaled, continuous time random walk \((Y_1+\ldots+Y_{N_t}: t\geq 0)\). In particular, it is shown that the set of possible limiting processes includes four distinct processes subordinated to an inverse \(\beta\)-stable subordinator (1) a stable subordinator (convergence holds in the \(M_1\) topology on \(D[0,\infty)\)); (2) a linear fractional stable motion (LFSM) with a.s. continuous paths (convergence holds in the \(J_1\) topology on \(D[0,\infty)\)); (3) a LFSM with a.s. unbounded paths on every interval of positive length (convergence of finite-dimensional distributions); (4) a fractional Brownian motion (convergence holds in the \(J_1\) topology on \(D[0,\infty)\)). Notice that the first case bears resemblance with a classical situation when \((Y_n: n\in \mathbb{Z})\) are i.i.d.

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