Theoretical and simulation results on heavy-tailed fractional Pearson diffusions (CROSBI ID 654429)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Leonenko, Nikolai ; Papić, Ivan ; Sikorskii, Alla ; Šuvak, Nenad
engleski
Theoretical and simulation results on heavy-tailed fractional Pearson diffusions
We define heavy-tailed fractional reciprocal gamma and Fisher-Snedecor diffusions by a non-Markovian time change in the corresponding Pearson diffusions. We illustrate known theoretical results regarding these fractional diffusions via simulations.
Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations
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Podaci o prilogu
95-103.
2017.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 20th European Young Statisticians Meeting
Uppsala:
Podaci o skupu
20th European Young Statisticians Meeting
predavanje
14.08.2017-18.08.2017
Uppsala, Švedska