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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 RabertoA 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.
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Publication status
- Published
Publisher
BirkhauserPage range
171-180Book title
Mathematical FinancePlace of publication
BaselISBN
9783034895064Department affiliated with
- Mathematics Publications
Notes
Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000Full text available
- No
Peer reviewed?
- Yes
Editors
Michael Kohlmann, Tang ShanjianLegacy Posted Date
2014-10-02Usage metrics
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