On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions

MaRDI QIDQ2866535zbMATH OpenFDO

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)

zbMATH Keywords

diffusion processinfinitesimal generatortransition densityspectral representationheavy tailed diffusionKolmogorov-Pearson diffusion

Mathematics Subject Classification ID

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)

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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
• scientific article; zbMATH DE number 6302927 (Why is no real title available?)
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
• 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
• Detecting multifractal stochastic processes under heavy-tailed effects
• Four moments theorems on Markov chaos
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
• Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part III: Application to the Cane-Zebiak model of the El Niño-southern oscillation
• Correlated continuous time random walks and fractional Pearson diffusions
• Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications

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