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

DOI10.1016/J.SPA.2010.10.003zbMATH Open1219.60048arXiv1005.2369OpenAlexW2122688319MaRDI QIDQ550136FDOQ550136

Authors: B. I. Henry, Peter Straka 

Publication date: 8 July 2011

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

Abstract: Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW) model for diffusion, including the possibility of anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to solve fractional Fokker-Planck equations. We consider limits of sequences of CTRWs which arise when both waiting times and jumps are taken from an infinitesimal triangular array. We identify two different limit processes $X_t$ and $Y_t$ when waiting times precede or follow jumps, respectively. In the limiting procedure, we keep track of the renewal times of the CTRWs and hence find two more limit processes. Finally, we calculate the joint law of all four limit processes evaluated at a fixed time $t$.

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

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zbMATH Keywords

subordinationsubdiffusioncontinuous time random walktime-changetriangular arraySkorokhod spacerenewal timesstochastic process limitLévy process

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) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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