Leonenko, N. N.  ORCID: https://orcid.org/0000-0003-1932-4091, Papic, I., Sikorskii, A. and Suvak, N.
2020.
Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology.
Journal of Mathematical Analysis and Applications
486
(2)
, 123934.
10.1016/j.jmaa.2020.123934
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Official URL: http://dx.doi.org/10.1016/j.jmaa.2020.123934
Abstract
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.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Mathematics |
| Publisher: | Elsevier |
| ISSN: | 0022-247X |
| Date of First Compliant Deposit: | 3 February 2020 |
| Date of Acceptance: | 31 January 2020 |
| Last Modified: | 01 Dec 2024 00:30 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/129277 |
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