Naslov
Ehrenfest-Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion

Autori
Leonenko, Nikolai ; Papić, Ivan ; Sikorskii, Alla ; Šuvak, Nenad

Izvornik
Theory of probability and mathematical statistics (0094-9000) 99 (2019); 137-147

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Ehrenfest-Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion
(Correlated continuous time random walk ; Ehrenfest-Brillouin Markov chain ; Fractional diffusion ; Jacobi diffusion ; Pearson diffusion)

Sažetak
Continuous time random walks (CTRWs) have random waiting times between particle jumps. Based on Ehrenfest-Brillouin-type model motivated by economics, we define the correlated CTRW that converge to the fractional Jacobi diffusion Y (E(t)), t ≥ 0, defined as a time change of Jacobi diffusion process Y (t) to the inverse E(t) of the standard stable subordinator. In the CTRW considered in this paper, the jumps are correlated so that in the limit the outer process Y (t) is not a Lévy process but a diffusion process with non- independent increments. The waiting times between jumps are selected from the domain of attraction of a stable law, so that the correlated CTRWs with these waiting times converge to Y (E(t))

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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