Fractional diffusion equation for a power-law-truncated Levy process

Truncated Levy flights are stochastic processes which display a crossover from a heavy-tailed Levy behavior to a faster decaying probability distribution function (pdf). Putting less weight on long flights overcomes the divergence of the Levy distribution second moment. We introduce a fractional generalization of the diffusion equation, whose solution defines a process in which a Levy flight of exponent alpha is truncated by a power-law of exponent 5-alpha. A closed form for the characteristic function of the process is derived. The pdf of the displacement slowly converges to a Gaussian in its central part showing however a power-law far tail. Possible applications are discussed. (C) 2003 Elsevier B.V. All rights reserved.