We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollar-deutsche mark future exchange, finding good agreement between theory and the observed data.

In this article we demonstrate the very inspiring role of the continuous-time random walk (CTRW) formalism, the numerous modifications permitted by its flexibility, its various applications, and the promising perspectives in the various fields of knowledge. A short review of significant achievements and possibilities is given. However, this review is still far from completeness. We focused on a pivotal role of CTRWs mainly in anomalous stochastic processes discovered in physics and beyond. This article plays the role of an extended announcement of the Eur. Phys. J. B Special Issue [ http://epjb.epj.org/open-calls-for-papers/123-epj-b/1090-ctrw-50-years-on ] containing articles which show incredible possibilities of the CTRWs.

We investigate the effects of resetting mechanisms on random processes that follow the telegrapher's equation instead of the usual diffusion equation. We thus study the consequences of a finite speed of signal propagation, the landmark of telegraphic processes. Likewise diffusion processes where signal propagation is instantaneous, we show that in telegraphic processes, where signal propagation is not instantaneous, random resettings also stabilize the random walk around the resetting position and optimize the mean first-arrival time. We also obtain the exact evolution equations for the probability density of the combined process and study the limiting cases.

Herein we present a calculation of the mean first-passage time for a bistable one-dimensional system driven by Gaussian colored noise of strength D and correlation time ${\tau }_c$. We obtain quantitative agreement with experimental analog-computer simulations of this system. We disagree with some of the conclusions reached by previous investigators. In particular, we demonstrate that all available approximations that lead to a state-dependent diffusion coefficient lead to the same result for small D${\tau }_c$.

We study the motion of a particle governed by a generalized Langevin equation. We show that, when no fluctuation-dissipation relation holds, the long-time behavior of the particle may be from stationary to superdiffusive, along with subdiffusive and diffusive. When the random force is Gaussian, we derive the exact equations for the joint and marginal probability density functions for the position and velocity of the particle and find their solutions. © 1996 The American Physical Society.