Pregled bibliografske jedinice broj: 885664
Correlated continuous time random walks and fractional Pearson diffusions
Correlated continuous time random walks and fractional Pearson diffusions // Bernoulli, 24 (2018), 4B; 3603-3627 doi:10.3150/17-BEJ972 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 885664 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Correlated continuous time random walks and
fractional Pearson diffusions
Autori
Leonenko, Nikolai ; Papić, Ivan ; Sikorski, Alla ; Šuvak, Nenad
Izvornik
Bernoulli (1350-7265) 24
(2018), 4B;
3603-3627
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Markov chains ; fractional diffusion ; Pearson diffusions ; urn-scheme models ; Wright-Fisher model ; continuous time random walks
Sažetak
Continuous time random walks have random waiting times between particle jumps. We define the correlated continuous time random walks (CTRWs) that converge to fractional Pearson diffusions (fPDs). The jumps in these CTRWs are obtained from Markov chains through the Bernoulli urn- scheme model and Wright-Fisher model. The jumps are correlated so that the limiting processes are not Lévy but diffusion processes with non- independent increments. The waiting times are selected from the domain of attraction of a stable law.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
