Correlation structure of time-changed Pearson diffusions

DOI10.1016/j.spl.2014.03.020zbMath1296.60216arXiv1401.1169OpenAlexW2962733970MaRDI QIDQ2453923

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

correlation functionfractional derivativegeneralized Mittag-Leffler functionPearson diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (5)

Spectral projections correlation structure for short-to-long range dependent processes ⋮ Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators ⋮ Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes ⋮ Fractional Poisson fields and martingales ⋮ The Euler-Lagrange and Legendre equations for functionals involving distributed-order fractional derivatives

Cites Work

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• Correlation structure of fractional Pearson diffusions
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• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Infinite divisibility of random variables and their integer parts
• Distributed-order fractional diffusions on bounded domains
• Fractional Pearson diffusions
• A Theory of the Term Structure of Interest Rates
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Strong analytic solutions of fractional Cauchy problems
• Limit theorems for occupation times of Markov processes
• Stochastic models for fractional calculus

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