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19972018
most citedMarkov Processes, Hurst Exponents, and Nonlinear Diffusion Equations with application to finance

105 citations · 529 across the 26 of their papers we have counts for

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physics.data-an2004★ 12 cited

Variable Step Random Walks and Self-Similar Distributions

Gemunu H. Gunaratne, Joseph L. McCauley, Matthew Nicol +1

We study a scenario under which variable step random walks give anomalous statistics. We begin by analyzing the Martingale Central Limit Theorem to find a sufficient condition for…