Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes

DOI10.1016/j.cnsns.2021.106095zbMath1479.60165OpenAlexW3209829307WikidataQ113877807 ScholiaQ113877807MaRDI QIDQ2060664

Khamron Mekchay, Phiraphat Sutthimat

Publication date: 13 December 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.106095

zbMATH Keywords

conditional momentPearson diffusioninhomogeneous diffusionclosed-form formulaheavy-tailed processlight-tailed process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (2)

Closed-form formula for conditional moments of generalized nonlinear drift CEV process ⋮ Numerical conservation issues for jump Pearson diffusions

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