Correlation structure of time-changed Pearson diffusions

DOI10.1016/J.SPL.2014.03.020MaRDI QIDQ2453923zbMATH OpenOpenAlexFDO

Authors Jebessa B. Mijena, Erkan Nane

Publication date 11 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.1169

zbMATH Keywords

fractional derivativecorrelation functiongeneralized Mittag-Leffler functionPearson diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60)

Abstract: The stochastic solution to diffusion equations with polynomial coefficients is called a Pearson diffusion. If the time derivative is replaced by a distributed fractional derivative, the stochastic solution is called a fractional Pearson diffusion. This paper develops a formula for the covariance function of a fractional Pearson diffusion in steady state, in terms of generalized Mittag-Leffler functions. That formula shows that fractional Pearson diffusions are long-range dependent, with a correlation that falls off like a power law, whose exponent equals the smallest order of the distributed fractional derivative.

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Cited in

(10)

• Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
• Correlation structure of fractional Pearson diffusions
• Time-non-local Pearson diffusions
• scientific article; zbMATH DE number 6521379 (Why is no real title available?)
• The Euler-Lagrange and Legendre equations for functionals involving distributed-order fractional derivatives
• Fractional Poisson fields and martingales
• Spectral projections correlation structure for short-to-long range dependent processes
• Fractional Pearson diffusions
• Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
• Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions

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