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14-18 August 2017
Uppsala University
Europe/Stockholm timezone

Theoretical and simulation results on heavy-tailed fractional Pearson diffusions

18 Aug 2017, 10:30
30m
Ångströmslaboratoriet (Uppsala University)

Ångströmslaboratoriet

Uppsala University

Speaker

Speaker

Mr Ivan Papić (Department of Mathematics, J.J. Strossmayer University of Osijek)

Description

We define heavy-tailed fractional reciprocal gamma and Fisher-Snedecor diffusions by a non-Markovian time change in the corresponding Pearson diffusions. We illustrate known theoretical results regarding these fractional diffusions via simulations.

Primary author

Mr Ivan Papić (Department of Mathematics, J.J. Strossmayer University of Osijek)

Co-authors

Prof. Alla Sikorskii (Department of Statistics and Probability, Michigan State University) Prof. Nenad Šuvak (Department of Mathematics, J.J. Strossmayer University of Osijek) Prof. Nikolai N. Leonenko (School of Mathematics, Cardiff University)

Presentation Materials

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