Timeline for Markov chain approximates a fractional diffusion
Current License: CC BY-SA 3.0
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| Feb 24, 2017 at 9:10 | comment | added | Joris Bierkens | As far as I am aware the fractional Brownion motion will not satisfy the Markov property, so even if you can make sense of the diffusion equation (how?), it will not be Markovian. Therefore I would guess it will not be the limit of a Markov chain, as such a limit would be Markovian. Unless, perhaps, you consider limits of 'higher order' Markov chains, e.g. a Markov chain in $\mathbb R^d$, and consider the limit of e.g. the first component. | |
| Feb 23, 2017 at 20:25 | history | asked | KNN | CC BY-SA 3.0 |