Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:486

Article

Leonenko, N. N.¹  Papic, I.²  Sikorskii, A.³  Suvak, N.⁴ 

[1] Cardiff Univ, Sch Math, Senghennydd Rd, Cardiff CF244AG, Wales

[2] JJ Strossmayer Univ Osijek, Dept Math, Trg Ljudevita Gaja 6, HR-31000 Osijek, Croatia

[3] Michigan State Univ, Dept Psychiat & Stat, E Lansing, MI 48824 USA

[4] Michigan State Univ, Dept Probabil, E Lansing, MI 48824 USA

关键词: Fractional diffusion approximation;    Skorokhod topology;    Fractional diffusions;    Correlated continuous time random walks;    Markov chains;    Pearson diffusions;   

DOI  :  10.1016/j.jmaa.2020.123934

来源: Elsevier

【 摘 要 】

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. (C) 2020 Published by Elsevier Inc.

【 授权许可】

Free