Stochastic calculus for uncoupled continuous-time random walks

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 79, Issue 6, 2009, Pages

  Germano, Guido ^a   Politi, Mauro ^a,b   Scalas, Enrico ^c   Schilling, René L ^d  

^a PHILIPPS UNIVERSITY MARBURG   (Germany)

^b UNIVERSITY OF MILAN   (Italy)

^c UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^d DRESDEN UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTIC EXPRESSIONS; ANOMALOUS DIFFUSION; CONTINUOUS-TIME RANDOM WALK; DIFFUSION EQUATIONS; FAT TAILS; FRACTIONAL FOKKER-PLANCK EQUATION; MONTE CARLO; MONTE CARLO SIMULATION; NUMERICAL CALCULATION; PROBABILITY DENSITIES; QUADRATIC VARIATIONS; SCALE PARAMETER; STABLE DISTRIBUTIONS; STOCHASTIC CALCULUS; STOCHASTIC INTEGRAL; STOCHASTIC PROCESS; STRATONOVICH INTEGRAL; TIME FRACTIONAL DIFFUSION EQUATION; WAITING TIME; WIENER PROCESS;

CONTINUOUS TIME SYSTEMS; DIFFUSION; ECONOMICS; MONTE CARLO METHODS; PROBABILITY DENSITY FUNCTION; THEOREM PROVING;

FOKKER PLANCK EQUATION;

EID: 67650925296     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.79.066102     Document Type: Article

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