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On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions

Author

Listed:
  • Alvaro Cartea

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Diego del-Castillo-Negrete

Abstract

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Suggested Citation

  • Alvaro Cartea & Diego del-Castillo-Negrete, 2007. "On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions," Birkbeck Working Papers in Economics and Finance 0708, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:0708
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    File URL: https://eprints.bbk.ac.uk/id/eprint/26910
    File Function: First version, 2007
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    Cited by:

    1. Tajani, Asmae & El Alaoui, Fatima-Zahrae & Boutoulout, Ali, 2022. "Regional boundary controllability of semilinear subdiffusion Caputo fractional systems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 193(C), pages 481-496.
    2. Feng, Libo & Liu, Fawang & Anh, Vo V., 2023. "Galerkin finite element method for a two-dimensional tempered time–space fractional diffusion equation with application to a Bloch–Torrey equation retaining Larmor precession," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 206(C), pages 517-537.
    3. Luo, Wei-Hua & Gu, Xian-Ming & Yang, Liu & Meng, Jing, 2021. "A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 182(C), pages 1-24.
    4. Angstmann, C.N. & Henry, B.I. & Jacobs, B.A. & McGann, A.V., 2017. "A time-fractional generalised advection equation from a stochastic process," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 175-183.
    5. Zhang, Yuxin & Li, Qian & Ding, Hengfei, 2018. "High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I)," Applied Mathematics and Computation, Elsevier, vol. 329(C), pages 432-443.
    6. Álvaro Cartea, 2013. "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
    7. Uchaikin, V.V. & Sibatov, R.T., 2017. "Fractional derivatives on cosmic scales," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 197-209.
    8. Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
    9. Weiyuan Ma & Changpin Li & Jingwei Deng, 2019. "Synchronization in Tempered Fractional Complex Networks via Auxiliary System Approach," Complexity, Hindawi, vol. 2019, pages 1-12, November.
    10. Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.

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