Limit theorem for continuous-time random walks with two time scales

Journal of Applied Probability - Tập 41 Số 2 - Trang 455-466 - 2004
Peter Becker–Kern1, Mark M. Meerschaert2, Hans‐Peter Scheffler1
1University of Dortmund
2University of Nevada

Tóm tắt

Continuous-time random walks incorporate a random waiting time between random jumps. They are used in physics to model particle motion. A physically realistic rescaling uses two different time scales for the mean waiting time and the deviation from the mean. This paper derives the scaling limits for such processes. These limit processes are governed by fractional partial differential equations that may be useful in physics. A transfer theorem for weak convergence of finite-dimensional distributions of stochastic processes is also obtained.

Từ khóa


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Thông tin
Thông tin xuất bản

Journal of Applied Probability

Tập 41 Số 2

455-466

Thông tin tác giả