Solution of a modified fractional diffusion equation
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DOI: 10.1016/j.physa.2005.12.012
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References listed on IDEAS
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004.
"Anomalous waiting times in high-frequency financial data,"
Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003. "Anomalous waiting times in high-frequency financial data," Papers cond-mat/0310305, arXiv.org.
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005. "Anomalous waiting times in high-frequency financial data," Papers physics/0505210, arXiv.org.
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"Fractional calculus and continuous-time finance II: the waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, University Library of Munich, Germany.
- Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000.
"Fractional calculus and continuous-time finance,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
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- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, University Library of Munich, Germany.
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"Waiting-times and returns in high-frequency financial data: an empirical study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
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Citations
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Cited by:
- Chen, Y. & Chen, Chang-Ming, 2018. "Numerical simulation with the second order compact approximation of first order derivative for the modified fractional diffusion equation," Applied Mathematics and Computation, Elsevier, vol. 320(C), pages 319-330.
- Qi, Haitao & Jiang, Xiaoyun, 2011. "Solutions of the space-time fractional Cattaneo diffusion equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 1876-1883.
- Awad, Emad, 2019. "On the time-fractional Cattaneo equation of distributed order," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 210-233.
- Awad, Emad & Sandev, Trifce & Metzler, Ralf & Chechkin, Aleksei, 2021. "Closed-form multi-dimensional solutions and asymptotic behaviors for subdiffusive processes with crossovers: I. Retarding case," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
- Tawfik, Ashraf M. & Elkamash, I.S., 2022. "On the correlation between Kappa and Lévy stable distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 601(C).
- Guo, Gang & Li, Kun & Wang, Yuhui, 2015. "Exact solutions of a modified fractional diffusion equation in the finite and semi-infinite domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 193-201.
- Guo, Gang & Chen, Bin & Zhao, Xinjun & Zhao, Fang & Wang, Quanmin, 2015. "First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 279-290.
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Keywords
Modified fractional diffusion equation; Anomalous diffusion; Fox function;All these keywords.
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