Abstract
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.
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Gorenflo, R., Mainardi, F., Scalas, E., Raberto, M. (2001). Fractional Calculus and Continuous-Time Finance III : the Diffusion Limit. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_17
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DOI: https://doi.org/10.1007/978-3-0348-8291-0_17
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