Heavy-tailed fractional Pearson diffusions

DOI10.1016/j.spa.2017.03.004zbMath1373.33007arXiv1707.01116OpenAlexW2595105958WikidataQ47657830 ScholiaQ47657830MaRDI QIDQ2408994

I. Papić, Alla Sikorskii, Nenad Šuvak, Nikolai N. Leonenko

Publication date: 10 October 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.01116

zbMATH Keywords

Mittag-Leffler functionspectral representationhypergeometric functiontransition densityfractional diffusionWhittaker functionPearson diffusionfractional backward Kolmogorov equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) Other special orthogonal polynomials and functions (33C47) Classical hypergeometric functions, ({}_2F_1) (33C05)

Related Items (7)

Non-local solvable birth-death processes ⋮ Spectral projections correlation structure for short-to-long range dependent processes ⋮ Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator ⋮ Stochastic analysis for vector-valued generalized grey Brownian motion ⋮ Fractional immigration-death processes ⋮ Time-non-local Pearson diffusions ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Uses Software

• DLMF

Cites Work

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