Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories

Details Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories Continuous Time Random Walks (CTRWs): Simulation of continuous trajectories

2007-07-21

arxiv.org/abs/0707.3221v2

Physics

Data Analysis, Statistics and Probability

7 pages, 7 figures

Scientific paper

10.1103/PhysRevE.76.061102

Continuous time random walks have been developed as a straightforward generalisation of classical random walk processes. Some 10 years ago, Fogedby introduced a continuous representation of these processes by means of a set of Langevin equations [H. C. Fogedby, Phys. Rev. E 50 (1994)]. The present work is devoted to a detailed discussion of Fogedby's model and presents its application for the robust numerical generation of sample paths of continuous time random walk processes.

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