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Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Leonenko, N. N., 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: 15 Mar 2020 03:01
URI: http://orca.cf.ac.uk/id/eprint/129277

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