Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics

DOI10.1137/S0040585X97983857zbMATH Open1193.60046arXiv0706.1928MaRDI QIDQ3556746FDOQ3556746

Authors: Vassili Kolokoltsov 

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: Functional limit theorem for continuous-time random walks (CTRW) are found in 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.

Full work available at URL: https://arxiv.org/abs/0706.1928

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zbMATH Keywords

fractional derivativeslimit theoremsanomalous diffusiontime changecontinuous-time random walksLévy subordinatorsfractional stable distributionshitting time processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

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