Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Continuous time random walks (CTRWs) have random waiting times between particle jumps. We establish fractional diffusion approximation via correlated CTRWs. Instead of a random walk modeling particle jumps in the classical CTRW model, we use discrete-time Markov chain with correlated steps. The waiting times are selected from the domain of attraction of a stable law.