Continuous time random walks and the Cauchy problem for the heat equation

In this paper we deal with anomalous diffusions induced by Continuous Time Random Walks - CTRW in $\mathbb{R}^n$. A particle moves in $\mathbb{R}^n$ in such a way that the probability density function $u(\cdot,t)$ of finding it in region $\Omega$ of $\mathbb{R}^n$ is given by $\int_{\Omega}u(x,t) dx$. The dynamics of the diffusion is provided by a space time probability density $J(x,t)$ compactly supported in $\{t\geq 0\}$. For $t$ large enough, $u$ must satisfy the equation $u(x,t)=[(J-\delta)\ast u](x,t)$ where $\delta$ is the Dirac delta in space time. We give a sense to a Cauchy type problem for a given initial density distribution $f$. We use Banach fixed point method to solve it, and we prove that under parabolic rescaling of $J$ the equation tends weakly to the heat equation and that for particular kernels $J$ the solutions tend to the corresponding temperatures when the scaling parameter approaches to zero.