UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Stochastic calculus for uncoupled continuous-time random walks

Germano, Guido; Politi, Mauro; Scalas, Enrico; Schilling, René L; (2009) Stochastic calculus for uncoupled continuous-time random walks. Physical Review E , 79 (6) , Article 066102. 10.1103/PhysRevE.79.066102. Green open access

[thumbnail of 0802.3769v2.pdf]
Preview
Text
0802.3769v2.pdf - Accepted Version

Download (1MB) | Preview

Abstract

The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that includes the It¯o and Stratonovich cases. An uncoupled CTRW with zero-mean jumps is a martingale. It is proved that, as a consequence of the martingale transform theorem, if the CTRW is a martingale, the It¯o integral is a martingale too. It is shown how the definition of the stochastic integrals can be used to easily compute them by Monte Carlo simulation. The relations between a CTRW, its quadratic variation, its Stratonovich integral and its It¯o integral are highlighted by numerical calculations when the jumps in space of the CTRW have a symmetric L´evy α-stable distribution and its waiting times have a one-parameter Mittag-Leffler distribution. Remarkably these distributions have fat tails and an unbounded quadratic variation. In the diffusive limit of vanishing scale parameters, the probability density of this kind of CTRW satisfies the space-time fractional diffusion equation (FDE) or more in general the fractional FokkerPlanck equation, that generalize the standard diffusion equation solved by the probability density of the Wiener process, and thus provides a phenomenologic model of anomalous diffusion. We also provide an analytic expression for the quadratic variation of the stochastic process described by the FDE, and check it by Monte Carlo.

Type: Article
Title: Stochastic calculus for uncoupled continuous-time random walks
Location: United States
Open access status: An open access version is available from UCL Discovery
DOI: 10.1103/PhysRevE.79.066102
Publisher version: https://doi.org/10.1103/physreve.79.066102
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10209722
Downloads since deposit
1Download
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item