Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion
Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion
Continuous time random walks (CTRWs) have random waiting times between particle jumps. Based on the EhrenfestâBrillouin-type model motivated by economics, we define the correlated CTRW that converges to the fractional Jacobi diffusion $Y(E(t))$, $t\ge 0$, defined as a time change of Jacobi diffusion process $Y(t)$ to the inverse $E(t)$ of …