On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
zbMATH Open1306.60110MaRDI QIDQ2866535FDOQ2866535
Authors: F. Avram, Nikolai N. Leonenko, N. Šuvak 
Publication date: 13 December 2013
Published in: Markov Processes and Related Fields (Search for Journal in Brave)
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diffusion processinfinitesimal generatortransition densityspectral representationheavy tailed diffusionKolmogorov-Pearson diffusion
Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Other special orthogonal polynomials and functions (33C47)
Cited In (17)
- Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
- Heavy-tailed fractional Pearson diffusions
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- Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
- Time-non-local Pearson diffusions
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- Typical long-time behavior of ground state-transformed jump processes
- Reduction and reconstruction of stochastic differential equations via symmetries
- Spectral representation of transition density of Fisher–Snedecor diffusion
- Four moments theorems on Markov chaos
- Detecting multifractal stochastic processes under heavy-tailed effects
- Parameter estimation for non-stationary Fisher-Snedecor diffusion
- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
- Correlated continuous time random walks and fractional Pearson diffusions
- Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part III: Application to the Cane-Zebiak model of the El Niño-southern oscillation
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
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