Fractional diffusion Bessel processes with Hurst index H (0, 12)

DOI10.1016/J.SPL.2023.110008MaRDI QIDQ6152268zbMATH OpenOpenAlexFDO

Authors Yuliya S. Mishura, K. V. Ral'chenko

Publication date 13 February 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2304.06328

zbMATH Keywords

fractional Brownian motionfractional diffusion Bessel process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Abstract: We introduce fractional diffusion Bessel process with Hurst index $Hin(0,frac12)$, derive a stochastic differential equation for it, and study the asymptotic properties of its sample paths.

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Cites work

• scientific article; zbMATH DE number 3736754 (Why is no real title available?)
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• The Bessel motion and a singular integral equation

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