Random Walks in Nonhomogeneous Poisson Environment

arXiv (Cornell University), 2016

Russian Mathematical Surveys, 1997

Contents §1. Introduction 327 §2. Diffusion process on the straight line with a flexible screen at zero 329 §3. Final formulation of the result 333 §4. Proof of Theorem 3. The construction of the approximating sequence /" 335 Bibliography 339

Journal of Physics A, 2017

We consider super-diffusive Lévy walks in d 2 dimensions when the duration of a single step, i.e., a ballistic motion performed by a walker, is governed by a power-law tailed distribution of infinite variance and finite mean. We demonstrate that the probability density function (PDF) of the coordinate of the random walker has two different scaling limits at large times. One limit describes the bulk of the PDF. It is the d−dimensional generalization of the one-dimensional Lévy distribution and is the counterpart of central limit theorem (CLT) for random walks with finite dispersion. In contrast with the one-dimensional Lévy distribution and the CLT this distribution does not have universal shape. The PDF reflects anisotropy of the single-step statistics however large the time is. The other scaling limit, the so-called 'infinite density', describes the tail of the PDF which determines second (dispersion) and higher moments of the PDF. This limit repeats the angular structure of PDF of velocity in one step. Typical realization of the walk consists of anomalous diffusive motion (described by anisotropic d−dimensional Lévy distribution) intermitted by long ballistic flights (described by infinite density). The long flights are rare but due to them the coordinate increases so much that their contribution determines the dispersion. We illustrate the concept by considering two types of Lévy walks, with isotropic and anisotropic distributions of velocities. Furthermore, we show that for isotropic but otherwise arbitrary velocity distribution the d−dimensional process can be reduced to one-dimensional Lévy walk.

Electronic Communications in Probability, 2007

We prove that a law of large numbers and a central limit theorem hold for the excited random walk model in every dimension d ≥ 2.

Modern Stochastics: Theory and Applications, 2017

A random flight on a plane with non-isotropic displacements at the moments of direction changes is considered. In the case of exponentially distributed flight lengths a Gaussian limit theorem is proved for the position of a particle in the scheme of series when jump lengths and non-isotropic displacements tend to zero. If the flight lengths have a folded Cauchy distribution the limiting distribution of the particle position is a convolution of the circular bivariate Cauchy distribution with a Gaussian law.

Journal of Physics A: Mathematical and Theoretical, 2017

We consider super-diffusive Lévy walks in d 2 dimensions when the duration of a single step, i.e., a ballistic motion performed by a walker, is governed by a power-law tailed distribution of infinite variance and finite mean. We demonstrate that the probability density function (PDF) of the coordinate of the random walker has two different scaling limits at large times. One limit describes the bulk of the PDF. It is the d-dimensional generalization of the one-dimensional Lévy distribution and is the counterpart of central limit theorem (CLT) for random walks with finite dispersion. In contrast with the one-dimensional Lévy distribution and the CLT this distribution does not have universal shape. The PDF reflects anisotropy of the single-step statistics however large the time is. The other scaling limit, the so-called 'infinite density', describes the tail of the PDF which determines second (dispersion) and higher moments of the PDF. This limit repeats the angular structure of PDF of velocity in one step. Typical realization of the walk consists of anomalous diffusive motion (described by anisotropic d-dimensional Lévy distribution) intermitted by long ballistic flights (described by infinite density). The long flights are rare but due to them the coordinate increases so much that their contribution determines the dispersion. We illustrate the concept by considering two types of Lévy walks, with isotropic and anisotropic distributions of velocities. Furthermore, we show that for isotropic but otherwise arbitrary velocity distribution the d-dimensional process can be reduced to one-dimensional Lévy walk.

The Annals of Probability, 2012

Scaling limits of continuous time random walks are used in physics to model anomalous diffusion, in which a cloud of particles spreads at a different rate than the classical Brownian motion. Governing equations for these limit processes generalize the classical diffusion equation. In this article, we characterize scaling limits in the case where the particle jump sizes and the waiting time between jumps are dependent. This leads to an efficient method of computing the limit, and a surprising connection to fractional derivatives.

2008

Random flights in Rd, d ≥ 2, with Dirichlet-distributed displacements and uniformly distributed orientation are analyzed. The explicit characteristic functions of the position Xd(t), t> 0, when the number of changes of direction is fixed are obtained. The probability distributions are derived by inverting the characteristic functions for all dimensions d of Rd and many properties of the probabilistic structure of Xd(t), t> 0, are examined. If the number of changes of direction is randomized by means of a fractional Poisson process, we are able to obtain explicit distributions for P{Xd(t) ∈ dxd} for all d ≥ 2. A Section is devoted to random flights in R3 where the general results are discussed. The existing literature is compared with the results of this paper where in our view the classical Pearson’s problem of random flights is resolved by suitably randomizing the step lengths. The random flights where changes of direction are governed by a homoge-neous Poisson process are an...

Canadian Journal of Physics, 2004

The one-dimensional random walk between two reflecting walls is considered from two different points of view: the first, as a particular case of jumps between neighbouring, discrete states; the second, as a system that obeys a generalized diffusion equation. By performing the suitable limits, the identity of the two results is pointed out and a physical application is presented. PACS Nos.: 02.50.Ey, 02.30.Jr

Stochastic Processes and their Applications, 2008

A continuous time random walk (CTRW) is a random walk subordinated to a renewal process, used in physics to model anomalous diffusion. Transition densities of CTRW scaling limits solve fractional diffusion equations. This paper develops more general limit theorems, based on triangular arrays, for sequences of CTRW processes. The array elements consist of random vectors that incorporate both the random walk jump variable and the waiting time preceding that jump. The CTRW limit process consists of a vector-valued Lévy process whose time parameter is replaced by the hitting time process of a real-valued nondecreasing Lévy process (subordinator). We provide a formula for the distribution of the CTRW limit process and show that their densities solve abstract space-time diffusion equations. Applications to finance are discussed, and a density formula for the hitting time of any strictly increasing subordinator is developed.