Correlated continuous time random walks
Probability
2009-06-25 v1 Statistics Theory
Statistical Finance
Statistics Theory
Abstract
Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy tailed jumps, and the time-fractional version codes heavy tailed waiting times. This paper develops scaling limits and governing equations in the case of correlated jumps. For long-range dependent jumps, this leads to fractional Brownian motion or linear fractional stable motion, with the time parameter replaced by an inverse stable subordinator in the case of heavy tailed waiting times. These scaling limits provide an interesting class of non-Markovian, non-Gaussian self-similar processes.
Cite
@article{arxiv.0809.1612,
title = {Correlated continuous time random walks},
author = {Mark M. Meerschaert and Erkan Nane and Yimin Xiao},
journal= {arXiv preprint arXiv:0809.1612},
year = {2009}
}
Comments
13 pages