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The Chung law for compound renewal processes

✍ Scribed by A. I. Martikainen; A. N. Frolov

Publisher: Springer US
Year: 2007
Tongue: English
Weight: 130 KB
Volume: 145
Category: Article
ISSN: 1573-8795
DOI: 10.1007/s10958-007-0320-1

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## Monte Carlo Econophysics a b s t r a c t Continuous-time random walks, or compound renewal processes, are pure-jump stochastic processes with several applications in insurance, finance, economics and physics. Based on heuristic considerations, a definition is given for stochastic integrals drive