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On properties of continuous-time random walks with non-Poissonian jump-times

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Publication:603440
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DOI10.1016/J.CHAOS.2008.11.015zbMath1198.60019arXiv0812.2148OpenAlexW2001089734MaRDI QIDQ603440

Javier Villarroel, Miquel Montero

Publication date: 7 November 2010

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.2148



Mathematics Subject Classification ID

Markov processes (60J99) Foundations of stochastic processes (60G05)





Cites Work

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  • V-Langevin equations, continuous time random walks and fractional diffusion
  • Continuous-time random walk and parametric subordination in fractional diffusion
  • On the time to ruin for Erlang(2) risk processes.
  • Random Walks on Lattices. II
  • A point process model for rainfall: further developments
  • Stochastic simulations of time series within Weierstrass–Mandelbrot walks
  • Option pricing when underlying stock returns are discontinuous




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