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

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posted on 2023-06-08, 18:27 authored by Rudolf Gorenflo, Francesco Mainardi, Enrico Scalas, Marco Raberto
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.

History

Publication status

  • Published

Publisher

Birkhauser

Page range

171-180

Book title

Mathematical Finance

Place of publication

Basel

ISBN

9783034895064

Department affiliated with

  • Mathematics Publications

Notes

Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000

Full text available

  • No

Peer reviewed?

  • Yes

Editors

Michael Kohlmann, Tang Shanjian

Legacy Posted Date

2014-10-02

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