Related papers: Doubly stochastic continuous time random walk
Two models are first presented, of one-dimensional discrete-time quantum walk (DTQW) with temporal noise on the internal degree of freedom (i.e., the coin): (i) a model with both a coin-flip and a phase-flip channel, and (ii) a model with…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
We study the random walk of a particle in a compartmentalized environment, as realized in biological samples or solid state compounds. Each compartment is characterized by its length $L$ and the boundaries transmittance $T$. We identify two…
Continuous-time random walks combining diffusive scattering and ballistic propagation on lattices model a class of L\'evy walks. The assumption that transitions in the scattering phase occur with exponentially-distributed waiting times…
We revisit the statistics of extremes and records of symmetric random walks with stochastic resetting, extending earlier studies in several directions. We put forward a diffusive scaling regime (symmetric step length distribution with…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
Continuous time random walk models with decoupled waiting time density are studied. When the spatial one jump probability density belongs to the Levy distribution type and the total time transition is exponential a generalized…
We study one-dimensional discrete as well as continuous time random walks, either with a fixed number of steps (for discrete time) $n$ or on a fixed time interval $T$ (for continuous time). In both cases, we focus on symmetric probability…
We study a scenario under which variable step random walks give anomalous statistics. We begin by analyzing the Martingale Central Limit Theorem to find a sufficient condition for the limit distribution to be non-Gaussian. We note that the…
We consider the problem of diffusion with stochastic resetting in a population of random walks where the diffusion coefficient is not constant, but behaves as a power-law of the average resetting rate of the population. Resetting occurs…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
In a continuous time random walk (CTRW), each random jump follows a random waiting time. CTRW scaling limits are time-changed processes that model anomalous diffusion. The outer process describes particle jumps, and the non-Markovian inner…
We consider one-dimensional discrete-time random walks (RWs) in the presence of finite size traps of length $\ell$ over which the RWs can jump. We study the survival probability of such RWs when the traps are periodically distributed and…
The stochastic motion of a particle with long-range correlated increments (the moving phase) which is intermittently interrupted by immobilizations (the traping phase) in a disordered medium is considered in the presence of an external…
In this thesis, we develop analytical methods to study out-of-equilibrium stochastic processes driven by colored noise, i.e., noise with temporal correlations. These non-Markovian processes pose significant analytical challenges compared to…
The problem of biological motion is a very intriguing and topical issue. Many efforts are being focused on the development of novel modeling approaches for the description of anomalous diffusion in biological systems, such as the very…
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that…
A stochastic theory for the toppling activity in sandpile models is developed, based on a simple mean-field assumption about the toppling process. The theory describes the process as an anti-persistent Gaussian walk, where the diffusion…
We investigate Brownian motion with diffusivity alternately fluctuating between fast and slow states. We assume that sojourn-time distributions of these two states are given by exponential or power-law distributions. We develop a theory of…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…