Fractional calculus and continuous-time finance III : the diffusion limit

Gorenflo, Rudolf, Mainardi, Francesco, Scalas, Enrico and Raberto, Marco (2001) Fractional calculus and continuous-time finance III : the diffusion limit. In: Kohlmann, Michael and Shanjian, Tang (eds.) Mathematical Finance. Birkhauser, Basel, pp. 171-180. ISBN 9783034895064

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A proper transition to the so-called diffusion or hydrodynamic limit is discussed for continuous time random walks. It turns out that the probability density function for the limit process obeys a fractional diffusion equation. The relevance of these results for financial applications is briefly discussed.

Item Type: Book Section
Additional Information: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
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Depositing User: Enrico Scalas
Date Deposited: 02 Oct 2014 10:54
Last Modified: 02 Oct 2014 10:54
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