Correlation structure of fractional Pearson diffusions

DOI10.1016/j.camwa.2013.01.009zbMath1381.60112OpenAlexW2126528465WikidataQ42964176 ScholiaQ42964176MaRDI QIDQ316101

Mark M. Meerschaert, Nikolai N. Leonenko, Alla Sikorskii

Publication date: 26 September 2016

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2013.01.009

zbMATH Keywords

Mittag-Leffler function correlation function fractional derivative Pearson diffusion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Fractional partial differential equations (35R11)

Related Items

Stable continuous-time autoregressive process driven by stable subordinator, Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system, Applications of the fractional Sturm-Liouville problem to the space-time fractional diffusion in a finite domain, Non-local solvable birth-death processes, Spectral projections correlation structure for short-to-long range dependent processes, Fractional Cox-Ingersoll-Ross process with non-zero ``mean, The fractional non-homogeneous Poisson process, Fractional Hawkes processes, Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator, Heavy-tailed fractional Pearson diffusions, Stochastic representation of fractional Bessel-Riesz motion, The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process, Time dependent random fields on spherical non-homogeneous surfaces, Option pricing in illiquid markets: a fractional jump-diffusion approach, Time-changed fractional Ornstein-Uhlenbeck process, Commutative and associative properties of the Caputo fractional derivative and its generalizing convolution operator, Correlation structure of time-changed Pearson diffusions, Long-memory Gaussian processes governed by generalized Fokker-Planck equations, Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes, Fractional immigration-death processes, A fractional multi-states model for insurance, Time-non-local Pearson diffusions, Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups, Mixed fractional differential equations and generalized operator-valued Mittag-Leffler functions, CDS pricing with fractional Hawkes processes, Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds, Fractional McKean-Vlasov and Hamilton-Jacobi-Bellman-Isaacs equations, Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology, Fractional Cox-Ingersoll-Ross process with small Hurst indices, The probabilistic point of view on the generalized fractional partial differential equations, Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process, Fractional Poisson fields

Uses Software

LSD

Cites Work