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arxiv: 0812.2148 · v1 · submitted 2008-12-11 · 💱 q-fin.ST

On properties of Continuous-Time Random Walks with Non-Poissonian jump-times

classification 💱 q-fin.ST
keywords timescasecontinuous-timerandomanalyzedarbitraryassumingassumption
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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.

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