Coupled continuous time random walks in finance

Physica A: Statistical Mechanics and its Applications

Volumn 370, Issue 1, 2006, Pages 114-118

  Meerschaert, Mark M ^a   Scalas, Enrico ^b  

^a UNIVERSITY OF OTAGO   (New Zealand)

^b UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

Anomalous diffusion; Continuous time random walks; Fractional calculus; Heavy tails

Indexed keywords

BROWNIAN MOVEMENT; DIFFUSION; PARTIAL DIFFERENTIAL EQUATIONS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; STATISTICAL METHODS; VECTORS;

ANOMALOUS DIFFUSION; CONTINUOUS TIME RANDOM WALKS; FRACTIONAL CALCULUS; HEAVY TAILS;

FINANCE;

EID: 33747344265     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.034     Document Type: Article

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