Heavy-tailed fractional Pearson diffusions

DOI10.1016/J.SPA.2017.03.004zbMATH Open1373.33007arXiv1707.01116OpenAlexW2595105958WikidataQ47657830 ScholiaQ47657830MaRDI QIDQ2408994FDOQ2408994

I. Papić, Alla Sikorskii, N. Šuvak, Nikolai N. Leonenko

Publication date: 10 October 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/1707.01116

zbMATH Keywords

Mittag-Leffler functionhypergeometric functionfractional diffusiontransition densityWhittaker functionspectral representationPearson diffusionfractional backward Kolmogorov equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Classical hypergeometric functions, ({}_2F_1) (33C05) Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) Other special orthogonal polynomials and functions (33C47)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A theory of the term structure of interest rates
• Semigroups of linear operators and applications to partial differential equations
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Comparing Fréchet and positive stable laws
• Vector-valued Laplace Transforms and Cauchy Problems
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Asymptotic properties of Brownian motion delayed by inverse subordinators
• Space-time fractional diffusion on bounded domains
• The Confluent Hypergeometric Function
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• Black-Scholes formula in subdiffusive regime
• Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
• Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
• Correlation structure of fractional Pearson diffusions
• Strong analytic solutions of fractional Cauchy problems
• Stochastic models for fractional calculus
• Fractional spherical random fields
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• Statistical inference for reciprocal gamma diffusion process
• Fractional Pearson diffusions
• Statistical Inference for Student Diffusion Process
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Parameter estimation for Fisher–Snedecor diffusion
• Time-inhomogeneous jump processes and variable order operators
• On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
• A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process
• Hypothesis testing for Fisher-Snedecor diffusion
• Black-Scholes model under subordination
• Spectral representation of transition density of Fisher–Snedecor diffusion
• Weak error for continuous time Markov chains related to fractional in time P(I)DEs

Cited In (11)

• Non-local solvable birth-death processes
• Fractional immigration-death processes
• On the uniform ergodicity rate of a fractional Ehrenfest urn model
• On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
• Stochastic analysis for vector-valued generalized grey Brownian motion
• Title not available (Why is that?)
• Time-non-local Pearson diffusions
• Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Spectral projections correlation structure for short-to-long range dependent processes
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Uses Software

• Digital Library of Mathematical Functions

This page was built for publication: Heavy-tailed fractional Pearson diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2408994)