相关论文: Coupled continuous time random walks in finance

Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW) model for diffusion, including the possibility of anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to…

Continuous time random walks have random waiting times between particle jumps. We define the correlated continuous time random walks (CTRWs) that converge to fractional Pearson diffusions (fPDs). The jumps in these CTRWs are obtained from…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

A continuous time random walk (CTRW) is a random walk in which both spatial changes represented by jumps and waiting times between the jumps are random. The CTRW is coupled if a jump and its preceding or following waiting time are dependent…

Standard continuous time random walk (CTRW) models are renewal processes in the sense that at each jump a new, independent pair of jump length and waiting time are chosen. Globally, anomalous diffusion emerges through action of the…

A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…

We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price…

Brownian motion is a well-known model for normal diffusion, but not all physical phenomena behave according to a Brownian motion. Many phenomena exhibit irregular diffusive behavior, called anomalous diffusion. Examples of anomalous…

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…

Functional limit theorem for continuous-time random walks (CTRW) are found in general case of dependent waiting times and jump sizes that are also position dependent. The limiting anomalous diffusion is described in terms of fractional…

Continuous Time Random Walks (CTRWs) are jump processes with random waiting times between jumps. We study scaling limits for CTRWs where the distribution of jumps and waiting times is coupled and varies in space and time. Such processes…

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…

In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of standard scaling to fractional Hamilton Jacobi Bellman type…

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…

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…

We consider the dynamics of a separable Continuous Time Random Walk (CTRW) when the random walker is biased by a velocity field in a uniformly growing domain. Concrete examples for such domains include growing biological cells or lipid…

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…

Continuous time random walks (CTRWs) are versatile models for anomalous diffusion processes that have found widespread application in the quantitative sciences. Their scaling limits are typically non-Markovian, and the computation of their…

The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW)is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW…

The usual development of the continuous time random walk (CTRW) assumes that jumps and time intervals are a two-dimensional set of independent and identically distributed random variables. In this paper we address the theoretical setting of…