Forward and Backward Governing EQuations for Anomalous Diffusion Models Based on the Continuous Time Random Walk
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Publication:6237774
arXiv1212.1197MaRDI QIDQ6237774FDOQ6237774
Authors: Peter Straka 
Publication date: 5 December 2012
Abstract: Continuous Time Random Walks (CTRWs) are jump processes with random waiting times between jumps. We study scaling limits for CTRWs where the distribution of jumps and waiting times is coupled and varies in space and time. Such processes model e.g. anomalous diffusion processes in a space- and time-dependent potential. Conditions for the process-convergence of CTRWs are given, and the limits are characterised by four coefficients. Kolmogorov forwards and backwards equations with non-local time operators are derived, and three models for anomalous diffusion are presented: i) Subdiffusion in a time-dependent potential, ii) subdiffusion with spatially varying waiting times and iii) L'evy walks with space- and time-dependent drift.
Convergence of probability measures (60B10) 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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