Triangular array limits for continuous time random walks
作者： Mark M. Meerschaert , Hans-Peter Scheffler
DOI: 10.1016/J.SPA.2007.10.005
关键词: Mathematical analysis 、 Random walk 、 Subordinator 、 Continuous-time random walk 、 Anomalous diffusion 、 Stochastic process 、 Mathematics 、 Hitting time 、 Lévy process 、 Scaling limit
摘要: … are iid, allowing arbitrary dependence between the waiting time J i ( c ) and the following … using a triangular array approach. Then we prove a density formula for hitting times of strictly …
elsevier.com
core.ac.uk 
sci-hub.se 参考文章(64)
Mark M. Meerschaert, Hans-Peter. Scheffler, Portfolio Modeling with Heavy Tailed Random Vectors Handbook of Heavy Tailed Distributions in Finance. pp. 595- 640 ,(2003) , 10.1016/B978-044450896-6.50017-0
Mark M. Meerschaert, Boris Baeumer, STOCHASTIC SOLUTIONS FOR FRACTIONAL CAUCHY PROBLEMS ,(2003)
Christian Berg, Jens Peter Reus Christensen, Paul Ressel, Harmonic Analysis on Semigroups Graduate Texts in Mathematics. ,(1984) , 10.1007/978-1-4612-1128-0
Hans-Peter Scheffler, Mark Meerschaert, Limit Distributions for Sums of Independent Random Vectors: Heavy Tails in Theory and Practice ,(2001)
Vladimir V. Uchaikin, Vladimir M. Zolotarev, Chance and Stability: Stable Distributions and Their Applications ,(1999)
S. T. Rachev, Handbook of heavy tailed distributions in finance Elsevier. ,(2003)
Frank Neubrander, Ulf Schlotterbeck, Ulrich Groh, Wolfgang Arendt, Rainer Nagel, Günther Greiner, Heinrich P. Lotz, Ulrich Moustakas, Annette Grabosch, One-parameter Semigroups of Positive Operators ,(1986)
Oleg Igorevich Marichev, Stefan G Samko, Anatoly A Kilbas, Fractional Integrals and Derivatives: Theory and Applications ,(1993)
Kenneth S. Miller, Bertram Ross, An Introduction to the Fractional Calculus and Fractional Differential Equations ,(1993)