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arXiv · 2408.00299

Simulation of the continuous-time random walk using subordination schemes

Danhua Jiang·Yuanze Hong·Wanli Wang
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Abstract

The continuous time random walk model has been widely applied in various fields, including physics, biology, chemistry, finance, social phenomena, etc. In this work, we present an algorithm that utilizes a subordinate formula to generate data of the continuous time random walk in the long time limit. The algorithm has been validated using commonly employed observables, such as typical fluctuations of the positional distribution, rare fluctuations, the mean and the variance of the position, and breakthrough curves with time-dependent bias, demonstrating a perfect match.

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Danhua Jiang, Yuanze Hong, Wanli Wang. 2024-08-01. Simulation of the continuous-time random walk using subordination schemes. https://doi.org/10.1103/physreve.110.034113

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