Heavy-tailed fractional Pearson diffusions
DOI10.1016/j.spa.2017.03.004zbMath1373.33007arXiv1707.01116OpenAlexW2595105958WikidataQ47657830 ScholiaQ47657830MaRDI QIDQ2408994
I. Papić, Alla Sikorskii, Nenad Šuvak, Nikolai N. Leonenko
Publication date: 10 October 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.01116
Mittag-Leffler functionspectral representationhypergeometric functiontransition densityfractional diffusionWhittaker functionPearson diffusionfractional backward Kolmogorov equation
Fractional processes, including fractional Brownian motion (60G22) Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) Other special orthogonal polynomials and functions (33C47) Classical hypergeometric functions, ({}_2F_1) (33C05)
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Cites Work
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