In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

In this paper, we consider a type of continuous time random walk model where the jump length is correlated with the waiting time. The asymptotic behaviors of the coupled jump probability density function in the Fourier–Laplace domain are discussed. The corresponding fractional diffusion...

In this paper, we propose algorithms to compute the fractional derivatives of a function by a weighted sum of function values at specified points. The fractional derivatives are considered in the Caputo sense. The error analysis of the algorithms and some illustrative examples are presented. The...