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Correlated continuous time random walks and fractional Pearson diffusions (CROSBI ID 240861)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Leonenko, Nikolai ; Papić, Ivan ; Sikorski, Alla ; Šuvak, Nenad Correlated continuous time random walks and fractional Pearson diffusions // Bernoulli, 24 (2018), 4B; 3603-3627. doi: 10.3150/17-BEJ972

Podaci o odgovornosti

Leonenko, Nikolai ; Papić, Ivan ; Sikorski, Alla ; Šuvak, Nenad

engleski

Correlated continuous time random walks and fractional Pearson diffusions

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 Markov chains through the Bernoulli urn- scheme model and Wright-Fisher model. The jumps are correlated so that the limiting processes are not Lévy but diffusion processes with non- independent increments. The waiting times are selected from the domain of attraction of a stable law.

Markov chains ; fractional diffusion ; Pearson diffusions ; urn-scheme models ; Wright-Fisher model ; continuous time random walks

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Podaci o izdanju

24 (4B)

2018.

3603-3627

objavljeno

1350-7265

10.3150/17-BEJ972

Povezanost rada

Matematika

Poveznice
Indeksiranost