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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.

Keywords

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

R2 v1 2026-06-21T11:18:27.941Z