Stochastic calculus for uncoupled continuous-time random walks

• Published in: IDEAS Working Paper Series from RePEc
• Main Authors: Germano, Guido, Politi, Mauro, Scalas, Enrico, Ren\'e L Schilling
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2008
• Subjects: Monte Carlo simulation; Stochastic models

The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that includes the Ito and Stratonovich cases. An uncoupled CTRW wit...