Hypergeometric diffusion

DOI10.1007/S10958-009-9440-0MaRDI QIDQ1037010zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 13 November 2009

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-009-9440-0

zbMATH Keywords

diffusion processeshyperbolic Bessel processhypergeometric functions

Mathematics Subject Classification ID

Classical hypergeometric functions, ({}_2F_1) (33C05) Diffusion processes (60J60)

Review text

The author introduces a new class of diffusions related to hypergeometric functions. This process generalizes the Bessel process, the Ornstein-Uhlenbeck process, the radial Ornstein-Uhlenbeck process, and the hyperbolic Bessel process which are connected with modified Bessel functions, parabolic cylinder functions, Kummer functions, and Legendre functions, respectively.

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 1163908 (Why is no real title available?)
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Cited in

(12)

• Stochastic processes on surfaces in three-dimensional contact sub-Riemannian manifolds
• On the asymptotic behavior of the hyperbolic Brownian motion
• Random spherical hyperbolic diffusion
• On hyperbolic Bessel processes and beyond
• Hyperbolic subdiffusive impedance
• On bounds for solutions of monotonic first-order difference-differential systems
• Squared radial Ornstein-Uhlenbeck processes and inverse Laplace transforms of products of confluent hypergeometric functions
• Explicit asymptotics on first passage times of diffusion processes
• Density of generalized Verhulst process and Bessel process with constant drift
• scientific article; zbMATH DE number 6781423 (Why is no real title available?)
• scientific article; zbMATH DE number 2213811 (Why is no real title available?)
• Hitting times of hyperbolic Bessel processes

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