Fractional Pearson diffusions
From MaRDI portal
Publication:2442987
Recommendations
Cites work
- A theory of the term structure of interest rates
- Analytic methods in the theory of differential and pseudo-differential equations of parabolic type
- Black-Scholes formula in subdiffusive regime
- Black-Scholes model under subordination
- Brownian subordinators and fractional Cauchy problems
- Diffusion-type models with given marginal distribution and autocorrelation function
- Fractional Cauchy problems on bounded domains
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- From diffusion to anomalous diffusion: A century after Einstein’s Brownian motion
- Generalized Jacobi Weights, Christoffel Functions, and Jacobi Polynomials
- scientific article; zbMATH DE number 3137533 (Why is no real title available?)
- scientific article; zbMATH DE number 4140223 (Why is no real title available?)
- scientific article; zbMATH DE number 3814037 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 739283 (Why is no real title available?)
- scientific article; zbMATH DE number 936393 (Why is no real title available?)
- scientific article; zbMATH DE number 5035864 (Why is no real title available?)
- scientific article; zbMATH DE number 3226563 (Why is no real title available?)
- scientific article; zbMATH DE number 3238721 (Why is no real title available?)
- Infinite divisibility of random variables and their integer parts
- Limit theorems for continuous-time random walks with infinite mean waiting times
- Limit theorems for occupation times of Markov processes
- On Mittag-Leffler-type functions in fractional evolution processes
- Parameter estimation for Fisher-Snedecor diffusion
- Particle tracking for fractional diffusion with two time scales
- Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
- Statistical inference for reciprocal gamma diffusion process
- Statistical Inference for Student Diffusion Process
- Stochastic models for fractional calculus
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
- Two families of functions related to the fractional powers of generators of strongly continuous contraction semigroups.
Cited in
(78)- Spatial high accuracy analysis of FEM for two-dimensional multi-term time-fractional diffusion-wave equations
- A new fractional finite volume method for solving the fractional diffusion equation
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Numerical methods for the two-dimensional multi-term time-fractional diffusion equations
- Stochastic representation of fractional Bessel-Riesz motion
- Generalised fractional evolution equations of Caputo type
- Finite difference scheme for simulating a generalized two-dimensional multi-term time fractional non-Newtonian fluid model
- Numerical methods and analysis for a multi-term time-space variable-order fractional advection-diffusion equations and applications
- Correlated continuous time random walks and fractional Pearson diffusions
- Fractional Poisson fields and martingales
- The analytical solution and numerical solutions for a two-dimensional multi-term time fractional diffusion and diffusion-wave equation
- Stochastic classical solutions for space-time fractional evolution equations on a bounded domain
- Fractional immigration-death processes
- Numerical solution of the time fractional Black-Scholes model governing European options
- Time-non-local Pearson diffusions
- CDS pricing with fractional Hawkes processes
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- Moment-based estimation for parameters of general inverse subordinator
- Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
- Non-local solvable birth-death processes
- A sojourn-based approach to semi-Markov reinforcement learning
- Fractional Hawkes processes
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Time-changed fractional Ornstein-Uhlenbeck process
- A numerical treatment of the two-dimensional multi-term time-fractional mixed sub-diffusion and diffusion-wave equation
- Magneto-thermoelastic interaction in a reinforced medium with cylindrical cavity in the context of Caputo-Fabrizio heat transport law
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Fractional Cox-Ingersoll-Ross process with small Hurst indices
- Fractional Poisson fields
- Analytical solutions for the multi-term time-space fractional reaction-diffusion equations on an infinite domain
- Fractional diffusion in Gaussian noisy environment
- A new Crank-Nicolson finite element method for the time-fractional subdiffusion equation
- Heavy-tailed fractional Pearson diffusions
- Correlation structure of time-changed Pearson diffusions
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Fast finite difference approximation for identifying parameters in a two-dimensional space-fractional nonlocal model with variable diffusivity coefficients
- On M-Wright transforms and time-fractional diffusion equations
- Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process
- Correlation structure of fractional Pearson diffusions
- Fractional Sturm-Liouville problem
- Time dependent random fields on spherical non-homogeneous surfaces
- Variational methods for the fractional Sturm-Liouville problem
- High-order approximation of Pearson diffusion processes
- Fractional diffusion-telegraph equations and their associated stochastic solutions
- Asymptotics for time-changed diffusions
- High-accuracy finite element method for 2D time fractional diffusion-wave equation on anisotropic meshes
- An effective algorithm for computing fractional derivatives and application to fractional differential equations
- Effect of nonlocality in the vibration of a microscale ribbon due to laser pulse
- Spectral projections correlation structure for short-to-long range dependent processes
- scientific article; zbMATH DE number 7523973 (Why is no real title available?)
- Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- First passage times for some classes of fractional time-changed diffusions
- The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck stochastic process
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
- New group iterative schemes in the numerical solution of the two-dimensional time fractional advection-diffusion equation
- Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion
- Approximation of time fractional Black-Scholes equation via radial kernels and transformations
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Elasto-thermodiffusive interaction subjected to rectangular thermal pulse and time-dependent chemical shock due to Caputo-Fabrizio heat transfer
- Approximate price of the option under discretization by applying fractional quadratic interpolation
- Finite difference/collocation method to solve multi term variable‐order fractional reaction–advection–diffusion equation in heterogeneous medium
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
- The Caputo‐Fabrizio heat transport law in vibration analysis of a microscale beam induced by laser
- Strong approximation of stochastic semilinear subdiffusion and superdiffusion driven by fractionally integrated additive noise
- On the uniform ergodicity rate of a fractional Ehrenfest urn model
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
- Modeling of nonlocal Caputo–Fabrizio integral models in a nanoscale resonator
- Convergence and superconvergence of a fully-discrete scheme for multi-term time fractional diffusion equations
- Sampling inverse subordinators and subdiffusions
- Stretched non-local Pearson diffusions
- Analytical solutions for time-fractional Cauchy problem based on OU, CIR and Jacobi processes with time-dependent parameters
- Numerical simulation for classes of one- and two-dimensional multi-term time-fractional diffusion and diffusion-wave equation based on shifted Jacobi Galerkin scheme
- Time changed spherical Brownian motions with longitudinal drifts
- Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
- On some fractional Pearson equations
This page was built for publication: Fractional Pearson diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2442987)
