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The leading role of a special function of the Wright-type, referred to as M-Wright or Mainardi function, within a parametric class of self-similar stochastic processes with stationary increments, is surveyed. This class of processes, known as generalized grey Brownian motion, provides models for both fast and slow anomalous diffusion. In view of a subordination-type formula involving M-Wright functions, these processes emerge to have all finite moments and be uniquely defined by their mean and auto-covariance structure like Gaussian processes. The corresponding master equation is shown to be a fractional differential equation in the Erdélyi-Kober sense and the diffusive process is named Erdélyi-Kober fractional diffusion. In Appendix, an historical overview on the M-Wright function is reported.