Scaling limits of continuous time random walks are used in physics to model anomalous diffusion, in which a cloud of particles spreads at a different rate than the classical Brownian motion. Governing equations for these limit processes generalize the classical diffusion equation. In this article, we characterize scaling limits in the case where the particle jump sizes and the waiting time between jumps are dependent. This leads to an efficient method of computing the limit, and a surprising connection to fractional derivatives.
"Limit theorems for coupled continuous time random walks." Ann. Probab. 32 (1B) 730 - 756, January 2004. https://doi.org/10.1214/aop/1079021462