Stochastic calculus for uncoupled continuous-time random walks
نویسندگان
چکیده
منابع مشابه
Stochastic calculus for uncoupled continuous-time random walks.
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications not only in physics but also in insurance, finance, and economics. A definition is given for a class of stochastic integrals driven by a CTRW, which includes the Itō and Stratonovich cases. An uncoupled CTRW with zero-mean jumps is a martingale. It is proved that, as a consequence of the martingal...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2009
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.79.066102