Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

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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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:	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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