Lagging and leading coupled continuous time random walks, renewal times and their joint limits
Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW), which models diffusion and anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to solve fractional Fokker-Planck equations. We consider limits of CTRWs which arise when both waiting times and jumps are taken from an infinitesimal triangular array. Two different limit processes are identified when waiting times precede jumps or follow jumps, respectively, together with two limit processes corresponding to the renewal times. We calculate the joint law of all four limit processes evaluated at a fixed time t.
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Volume (Year): 121 (2011)
Issue (Month): 2 (February)
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"Coupled continuous time random walks in finance,"
Physica A: Statistical Mechanics and its Applications,
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