摘要翻译:
连续时间随机游动(CTRW)的通常发展是通过假设当前是跳跃时间之一来进行的。在此限制条件下,导出了传播子和平均逃逸时间的积分方程。利用更新理论,我们将这些结果推广到当前为任意时间的情形。详细分析了Erlang分布时间的情况。考虑了几个具体的例子。
---
英文标题:
《On properties of Continuous-Time Random Walks with Non-Poissonian
jump-times》
---
作者:
Javier Villarroel, Miquel Montero
---
最新提交年份:
2008
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要:
The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equations for the propagator and mean escape times have been derived. We generalize these results to the case when the present is an arbitrary time by recourse to renewal theory. The case of Erlang distributed times is analyzed in detail. Several concrete examples are considered.
---
PDF链接:
https://arxiv.org/pdf/0812.2148