Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories
Data Analysis, Statistics and Probability
2009-11-13 v2 Chemical Physics
Abstract
Continuous time random walks have been developed as a straightforward generalisation of classical random walk processes. Some 10 years ago, Fogedby introduced a continuous representation of these processes by means of a set of Langevin equations [H. C. Fogedby, Phys. Rev. E 50 (1994)]. The present work is devoted to a detailed discussion of Fogedby's model and presents its application for the robust numerical generation of sample paths of continuous time random walk processes.
Keywords
Cite
@article{arxiv.0707.3221,
title = {Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories},
author = {D. Kleinhans and R. Friedrich},
journal= {arXiv preprint arXiv:0707.3221},
year = {2009}
}
Comments
7 pages, 7 figures