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Pregled bibliografske jedinice broj: 903497

Theoretical and simulation results on heavy-tailed fractional Pearson diffusions

Leonenko, Nikolai; Papić, Ivan; Sikorskii, Alla; Šuvak, Nenad
Theoretical and simulation results on heavy-tailed fractional Pearson diffusions // Proceedings of the 20th European Young Statisticians Meeting
Uppsala, 2017. str. 95-103 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)

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Naslov
Theoretical and simulation results on heavy-tailed fractional Pearson diffusions

Autori
Leonenko, Nikolai ; Papić, Ivan ; Sikorskii, Alla ; Šuvak, Nenad

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 20th European Young Statisticians Meeting / - Uppsala, 2017, 95-103

Skup
20th European Young Statisticians Meeting

Mjesto i datum
Uppsala, Švedska, 14.08.2017. - 18.08.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations

Sažetak
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.

Izvorni jezik
Engleski



POVEZANOST RADA

Ustanove:
Sveučilište u Osijeku, Odjel za matematiku

Profili:

Avatar Url Nenad Šuvak (autor)

Avatar Url Ivan Papić (autor)

Citiraj ovu publikaciju:

Leonenko, Nikolai; Papić, Ivan; Sikorskii, Alla; Šuvak, Nenad
Theoretical and simulation results on heavy-tailed fractional Pearson diffusions // Proceedings of the 20th European Young Statisticians Meeting
Uppsala, 2017. str. 95-103 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
Leonenko, N., Papić, I., Sikorskii, A. & Šuvak, N. (2017) Theoretical and simulation results on heavy-tailed fractional Pearson diffusions. U: Proceedings of the 20th European Young Statisticians Meeting.
@article{article, author = {Leonenko, Nikolai and Papi\'{c}, Ivan and Sikorskii, Alla and \v{S}uvak, Nenad}, year = {2017}, pages = {95-103}, keywords = {Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations}, title = {Theoretical and simulation results on heavy-tailed fractional Pearson diffusions}, keyword = {Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations}, publisherplace = {Uppsala, \v{S}vedska} }
@article{article, author = {Leonenko, Nikolai and Papi\'{c}, Ivan and Sikorskii, Alla and \v{S}uvak, Nenad}, year = {2017}, pages = {95-103}, keywords = {Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations}, title = {Theoretical and simulation results on heavy-tailed fractional Pearson diffusions}, keyword = {Fractional diffusion, Pearson diffusion, Stable subordinator, Transition density, Simulations}, publisherplace = {Uppsala, \v{S}vedska} }

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