 Lagging and leading coupled continuous time random walks, renewal times and their joint limitsP. Straka and B.I. Henry Stochastic Processes and their Applications, 2011, vol. 121, issue 2, 324-336 Abstract: Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW), which models diffusion and anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to solve fractional Fokker-Planck equations. We consider limits of CTRWs which arise when both waiting times and jumps are taken from an infinitesimal triangular array. Two different limit processes are identified when waiting times precede jumps or follow jumps, respectively, together with two limit processes corresponding to the renewal times. We calculate the joint law of all four limit processes evaluated at a fixed time t. Keywords: Continuous; time; random; walk; Stochastic; process; limit; Lévy; process; Time-change; Subordination; Triangular; array; Renewal; times; Skorokhod; space; Subdiffusion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:121:y:2011:i:2:p:324-336 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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