Triangular array limits for continuous time random walks

Mark M. Meerschaert and Hans-Peter Scheffler

Stochastic Processes and their Applications, 2008, vol. 118, issue 9, 1606-1633

Abstract: A continuous time random walk (CTRW) is a random walk subordinated to a renewal process, used in physics to model anomalous diffusion. Transition densities of CTRW scaling limits solve fractional diffusion equations. This paper develops more general limit theorems, based on triangular arrays, for sequences of CTRW processes. The array elements consist of random vectors that incorporate both the random walk jump variable and the waiting time preceding that jump. The CTRW limit process consists of a vector-valued Lévy process whose time parameter is replaced by the hitting time process of a real-valued nondecreasing Lévy process (subordinator). We provide a formula for the distribution of the CTRW limit process and show that their densities solve abstract space-time diffusion equations. Applications to finance are discussed, and a density formula for the hitting time of any strictly increasing subordinator is developed.

Keywords: Continuous; time; random; walk; Subordinator; Hitting; time; Fractional; Cauchy; problem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (30)

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