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.
| Author details: | Marcin Magdziarz, Ralf MetzlerORCiDGND, Wladyslaw Szczotka, Piotr Zebrowski |
|---|---|
| DOI: | https://doi.org/10.1088/1742-5468/2012/04/P04010 |
| ISSN: | 1742-5468 |
| Title of parent work (English): | Journal of statistical mechanics: theory and experiment |
| Publisher: | IOP Publ. Ltd. |
| Place of publishing: | Bristol |
| Publication type: | Article |
| Language: | English |
| Year of first publication: | 2012 |
| Publication year: | 2012 |
| Release date: | 2017/03/26 |
| Tag: | diffusion; stochastic processes (theory) |
| Number of pages: | 18 |
| Funding institution: | Academy of Finland (FiDiPro) |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie |
| Peer review: | Referiert |
