From power laws to fractional diffusion: the direct way (Q817101)

From the authors' summary: We focus our interest on random walks in which the probability distributions of waiting times and jumps have fat tails characterized by power laws with exponent between \(0\) and \(1\) for waiting times, between \(0\) and \(2\) for jumps. We see that by a well-scaled passage to the diffusion limit, diffusion processes fractional in time as well as in space are obtained. The corresponding equation of evolution is a linear partial pseudo-differential equation with fractional derivatives in time and in space, the orders being equal to the above exponents. The behavior of such a process can be well approximated and visualized by simulation via various random walks. For their explicit solutions there are available integral representations that allow to investigate their detailed structure. For related papers see: \textit{E. W. Montroll} and \textit{G. H. Weiss} [J. Math. Phys. 6, 167--181 (1965)]; \textit{W. R. Schneider} and \textit{W. Wyss} [J. Math. Phys. 30, 134--144 (1989; Zbl 0692.45004)].