On multiple‐particle continuous‐time random walks

Peter Becker-Kern and Hans-Peter Scheffler

Journal of Applied Mathematics, 2004, vol. 2004, issue 3, 213-233

Abstract: Scaling limits of continuous‐time random walks are used in physics to model anomalous diffusion in which particles spread at a different rate than the classical Brownian motion. In this paper, we characterize the scaling limit of the average of multiple particles, independently moving as a continuous‐time random walk. The limit is taken by increasing the number of particles and scaling from microscopic to macroscopic view. We show that the limit is independent of the order of these limiting procedures and can also be taken simultaneously in both procedures. Whereas the scaling limit of a single‐particle movement has quite an obscure behavior, the multiple‐particle analogue has much nicer properties.

Date: 2004
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https://doi.org/10.1155/S1110757X04308065

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2004:y:2004:i:3:p:213-233

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