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Fractional characteristic functions and fractional moments

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FD2W01 - Deterministic and stochastic fractional differential equations and jump processes

We introduce a fractional variant of the characteristic function of a random variable. It exists on the real whole line, and isuniformly continuos. We show that fractional moments can be expressed in terms of Riemann-Liouville integrals and derivatives of the fractional characteristic function. Fractional moments are of interest in particular for distributions whose integer moments do not exist. Some illustrative examples for particular distributions will be also presented.

This talk is part of the Isaac Newton Institute Seminar Series series.

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