منابع مشابه
Fractional Pearson Diffusions.
Pearson diffusions are governed by diffusion equations with polynomial coefficients. Fractional Pearson diffusions are governed by the corresponding time-fractional diffusion equation. They are useful for modeling sub-diffusive phenomena, caused by particle sticking and trapping. This paper provides explicit strong solutions for fractional Pearson diffusions, using spectral methods. It also pre...
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The stochastic solution to a diffusion equations with polynomial coefficients is called a Pearson diffusion. If the first time derivative is replaced by a Caputo fractional derivative of order less than one, the stochastic solution is called a fractional Pearson diffusion. This paper develops an explicit formula for the covariance function of a fractional Pearson diffusion in steady state, in t...
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The Pearson diffusions is a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. Explicit optimal martingale estimating functions are found, and the corresponding estimators are shown to be consistent and asymptotically normal. The discussion covers GMM, quasi-l...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2017
ISSN: 0304-4149
DOI: 10.1016/j.spa.2017.03.004