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Correlated continuous-time random walks-scaling limits and Langevin picture

  • In this paper we analyze correlated continuous-time random walks introduced recently by Tejedor and Metzler (2010 J. Phys. A: Math. Theor. 43 082002). We obtain the Langevin equations associated with this process and the corresponding scaling limits of their solutions. We prove that the limit processes are self-similar and display anomalous dynamics. Moreover, we extend the model to include external forces. Our results are confirmed by Monte Carlo simulations.

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Author:Marcin Magdziarz, Ralf MetzlerORCiDGND, Wladyslaw Szczotka, Piotr Zebrowski
ISSN:1742-5468 (print)
Parent Title (English):Journal of statistical mechanics: theory and experiment
Publisher:IOP Publ. Ltd.
Place of publication:Bristol
Document Type:Article
Year of first Publication:2012
Year of Completion:2012
Release Date:2017/03/26
Tag:diffusion; stochastic processes (theory)
Funder:Academy of Finland (FiDiPro)
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie
Peer Review:Referiert