On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
Statistical Finance
2009-07-17 v1
Abstract
The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equations for the propagator and mean escape times have been derived. We generalize these results to the case when the present is an arbitrary time by recourse to renewal theory. The case of Erlang distributed times is analyzed in detail. Several concrete examples are considered.
Keywords
Cite
@article{arxiv.0812.2148,
title = {On properties of Continuous-Time Random Walks with Non-Poissonian jump-times},
author = {Javier Villarroel and Miquel Montero},
journal= {arXiv preprint arXiv:0812.2148},
year = {2009}
}
Comments
elsart, 12 pages, 3 figures, accepted for publication in Chaos, Solitons & Fractals