Literature DB >> 14995604

Uncoupled continuous-time random walks: Solution and limiting behavior of the master equation.

Enrico Scalas1, Rudolf Gorenflo, Francesco Mainardi.   

Abstract

A detailed study is presented for a large class of uncoupled continuous-time random walks. The master equation is solved for the Mittag-Leffler survival probability. The properly scaled diffusive limit of the master equation is taken and its relation with the fractional diffusion equation is discussed. Finally, some common objections found in the literature are thoroughly reviewed.

Year:  2004        PMID: 14995604     DOI: 10.1103/PhysRevE.69.011107

Source DB:  PubMed          Journal:  Phys Rev E Stat Nonlin Soft Matter Phys        ISSN: 1539-3755


  4 in total

1.  Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond.

Authors:  Björn Böttcher
Journal:  PLoS One       Date:  2010-12-03       Impact factor: 3.240

2.  Semi-Markov graph dynamics.

Authors:  Marco Raberto; Fabio Rapallo; Enrico Scalas
Journal:  PLoS One       Date:  2011-08-24       Impact factor: 3.240

3.  A directed continuous time random walk model with jump length depending on waiting time.

Authors:  Long Shi; Zuguo Yu; Zhi Mao; Aiguo Xiao
Journal:  ScientificWorldJournal       Date:  2014-03-13

4.  Continuous Time Random Walk with Correlated Waiting Times. The Crucial Role of Inter-Trade Times in Volatility Clustering.

Authors:  Jarosław Klamut; Tomasz Gubiec
Journal:  Entropy (Basel)       Date:  2021-11-26       Impact factor: 2.524

  4 in total

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