Asymptotic behaviour of non-isotropic random walks with heavy tails

DOI10.15559/17-VMSTA75zbMATH Open1361.60018arXiv1704.02143OpenAlexW3100856556MaRDI QIDQ522552FDOQ522552

Authors: Enzo Orsingher, Mark Kelbert 

Publication date: 18 April 2017

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: A random flight on a plane with non-isotropic displacements at the moments of direction changes is considered. In the case of exponentially distributed flight lengths a Gaussian limit theorem is proved for the position of a particle in the scheme of series when jump lengths and non-isotropic displacements tend to zero. If the flight lengths have a folded Cauchy distribution the limiting distribution of the particle position is a convolution of the circular bivariate Cauchy distribution with a Gaussian law.

Full work available at URL: https://arxiv.org/abs/1704.02143

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zbMATH Keywords

Bessel functionsrandom flightsnon-Gaussian limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Problems in Physics and Astronomy
• Random flights in higher spaces
• Flying randomly in \(\mathbb R^d\) with Dirichlet displacements
• A Pearson random walk with steps of uniform orientation and Dirichlet distributed lengths
• Generalized Bessel functions of the Anger type and applications to physical problems
• A Representation of the Symmetric Bivariate Cauchy Distribution

Cited In (5)

• Random walks with power-law fluctuations in the number of steps
• Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
• Non-homogeneous random walks with non-integrable increments and heavy-tailed random walks on strips
• Asymptotic results for random flights
• Limit theorems for ``random flights

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