Pregled bibliografske jedinice broj: 903282
Heavy-tailed fractional Pearson diffusions
Heavy-tailed fractional Pearson diffusions // Stochastic processes and their applications, 127 (2017), 11; 3512-3535 doi:10.1016/j.spa.2017.03.004 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 903282 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Heavy-tailed fractional Pearson diffusions
Autori
Leonenko, Nikolai ; Papić, Ivan ; Sikorskii, Alla ; Šuvak, Nenad
Izvornik
Stochastic processes and their applications (0304-4149) 127
(2017), 11;
3512-3535
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Fractional diffusion ; Fractional backward Kolmogorov equation ; Hypergeometric function ; Mittag-Leffler function ; Pearson diffusion ; Spectral representation ; Transition density ; Whittaker function
Sažetak
We define heavy-tailed fractional reciprocal gamma and Fisher–Snedecor diffusions by a non- Markovian time change in the corresponding Pearson diffusions. Pearson diffusions are governed by the backward Kolmogorov equations with space-varying polynomial coefficients and are widely used in applications. The corresponding fractional reciprocal gamma and Fisher–Snedecor diffusions are governed by the fractional backward Kolmogorov equations and have heavy-tailed marginal distributions in the steady state. We derive the explicit expressions for the transition densities of the fractional reciprocal gamma and Fisher–Snedecor diffusions and strong solutions of the associated Cauchy problems for the fractional backward Kolmogorov equation.
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
