Fractional Dynamics at Multiple Times |
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| Authors: | Mark M Meerschaert Peter Straka |
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| Institution: | 1. Department of Statistics and Probability, Michigan State University, East Lansing, MI, 48824, USA
2. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK
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| Abstract: | A continuous time random walk (CTRW) imposes a random waiting time between random particle jumps. CTRW limit densities solve a fractional Fokker-Planck equation, but since the CTRW limit is not Markovian, this is not sufficient to characterize the process. This paper applies continuum renewal theory to restore the Markov property on an expanded state space, and compute the joint CTRW limit density at multiple times. |
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