Related papers: Doubly stochastic continuous time random walk
Memory effects, sometimes, can not be neglected. In the framework of continuous time random walk, memory effect is modeled by the correlated waiting times. In this paper, we derive the two-point probability distribution of the stochastic…
We study the dynamics of a radioactive species flowing through a porous material, within the Continuous-Time Random Walk (CTRW) approach to the modelling of stochastic transport processes. Emphasis is given to the case where radioactive…
Traditionally, time-development of the mean square displacement has been employed to determine the diffusion coefficient from the trajectories of single particles. However, this approach is sensitive to the noise and the motion blur upon…
We present a random walk model that exhibits asymptotic subdiffusive, diffusive, and superdiffusive behavior in different parameter regimes. This appears to be the first instance of a single random walk model leading to all three forms of…
We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…
We demonstrate that continuous time random walks in which successive waiting times are correlated by Gaussian statistics lead to anomalous diffusion with mean squared displacement <r^2(t)>~t^{2/3}. Long-ranged correlations of the waiting…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
We consider a class of discrete-time random walks with directed unit steps on the integer line. The direction of the steps is reversed at the time instants of events in a discrete-time renewal process and is maintained at uneventful time…
We extend to the gamut of functional forms of the probability distribution of the time-dependent step-length a previous model dubbed Elephant Quantum Walk, which considers a uniform distribution and yields hyperballistic dynamics where the…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
A second-order random walk on a graph or network is a random walk where transition probabilities depend not only on the present node but also on the previous one. A notable example is the non-backtracking random walk, where the walker is…
Nelson's stochastic mechanics formulates quantum dynamics as a real-time conservative diffusion process in which a particle undergoes Brownian-like motion with a fluctuation amplitude fixed by Planck's constant. While being mathematically…
We study the stochastic motion of active particles that undergo spontaneous transitions between two distinct modes of motion. Each mode is characterized by a velocity distribution and an arbitrary (anti-)persistence. We present an…
We formulate the generalized master equation for a class of continuous time random walks in the presence of a prescribed deterministic evolution between successive transitions. This formulation is exemplified by means of an…
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…
In this paper, we consider a stochastic process that may experience random reset events which relocate the system to its starting position. We focus our attention on a one-dimensional, monotonic continuous-time random walk with a constant…
We investigate a L\'evy-Walk alternating between velocities $\pm v_0$ with opposite sign. The sojourn time probability distribution at large times is a power law lacking its mean or second moment. The first case corresponds to a ballistic…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. In case of repeated observations of time series for several experimental units, it is often the case that some of the…