Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes

Adam Barczyk; Peter Kern

doi:10.1016/j.spa.2012.10.013

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arXiv · 1208.5421

Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes

Adam Barczyk·Peter Kern

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Abstract

A continuous time random walk (CTRW) is a random walk in which both spatial changes represented by jumps and waiting times between the jumps are random. The CTRW is coupled if a jump and its preceding or following waiting time are dependent random variables, respectively. The aim of this paper is to explain the occurrence of different limit processes for CTRWs with forward- or backward-coupling in Straka and Henry (2011) using marked point processes. We also establish a series representation for the different limits. The methods used also allow us to solve an open problem concerning residual order statistics by LePage (1981).

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BibTeX RIS

Adam Barczyk, Peter Kern. 2012-11-05. Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes. https://doi.org/10.1016/j.spa.2012.10.013

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