engleski

Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology, Journal of Mathematical Analysis and Applications

Continuous time random walks (CTRWs) have random waiting times between particle jumps. We establish fractional diffusion approximation via correlated CTRWs. Instead of a random walk modeling particle jumps in the classical CTRW model, we use discrete-time Markov chain with correlated steps. The waiting times are selected from the domain of attraction of a stable law.

fractional diffusion approximation ; Skorokhod topology ; fractional diffusions ; correlated continuous time random walks ; Markov chains ; Pearson diffusions

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