Continuous-time random walk

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In mathematics, a continuous-time random walk (CTRW) is a generalization of a random walk where the wandering particle waits for a random time between jumps. It is a stochastic jump process with arbitrary distributions of jump lengths and waiting times.[1][2][3] More generally it can be seen to be a special case of a Markov renewal process.

Motivation

CTRW was introduced by Montroll and Weiss [4] as a generalization of physical diffusion process to effectively describe anomalous diffusion, i.e., the super- and sub-diffusive cases. An equivalent formulation of the CTRW is given by generalized master equations.[5] A connection between CTRWs and diffusion equations with fractional time derivatives has been established.[6] Similarly, time-space fractional diffusion equations can be considered as CTRWs with continuously distributed jumps or continuum approximations of CTRWs on lattices. [7]

Formulation

A simple formulation of a CTRW is to consider the stochastic process X(t) defined by


X(t) = X_0 + \sum_{i=1}^{N(t)} \Delta X_i,

whose increments \Delta X_i are iid random variables taking values in a domain \Omega and N(t) is the number of jumps in the interval  (0,t). The probability for the process taking the value X at time t is then given by


P(X,t) = \sum_{n=0}^\infty P(n,t) P_n(X).

Here P_n(X) is the probability for the process taking the value X after n jumps, and P(n,t) is the probability of having n jumps after time t.

Montroll-Weiss formula

We denote by \tau the waiting time in between two jumps of N(t) and by \psi(\tau) its distribution. The Laplace transform of \psi(\tau) is defined by


\tilde{\psi}(s)=\int_0^{\infty} d\tau \, e^{-\tau s} \psi(\tau).

Similarly, the characteristic function of the jump distribution  f(\Delta X) is given by its Fourier transform:


\hat{f}(k)=\int_\Omega d(\Delta X) \, e^{i k\Delta X} f(\Delta X).

One can show that the Laplace-Fourier transform of the probability P(X,t) is given by


\hat{\tilde{P}}(k,s) = \frac{1-\tilde{\psi}(s)}{s} \frac{1}{1-\tilde{\psi}(s)\hat{f}(k)}.

The above is called Montroll-Weiss formula.

Examples

The Wiener process is the standard example of a continuous time random walk in which the waiting times are exponential and the jumps are continuous and normally distributed.

References

  1. Klages, Rainer; Radons, Guenther; Sokolov, Igor M. Anomalous Transport: Foundations and Applications.<templatestyles src="Module:Citation/CS1/styles.css"></templatestyles>
  2. Paul, Wolfgang; Baschnagel, Jörg (2013-07-11). Stochastic Processes: From Physics to Finance. Springer Science & Business Media. pp. 72–. ISBN 9783319003276. Retrieved 25 July 2014.<templatestyles src="Module:Citation/CS1/styles.css"></templatestyles>
  3. Slanina, Frantisek (2013-12-05). Essentials of Econophysics Modelling. OUP Oxford. pp. 89–. ISBN 9780191009075. Retrieved 25 July 2014.<templatestyles src="Module:Citation/CS1/styles.css"></templatestyles>
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