Nonstationary Feller process with time-varying coefficients
We study the nonstationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution and achieve the probability density function. We show that for...
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/96380 |
| Acceso en línea: | https://hdl.handle.net/2445/96380 |
| Access Level: | acceso abierto |
| Palabra clave: | Física matemàtica Processos estocàstics Mathematical physics Stochastic processes |
| Sumario: | We study the nonstationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution and achieve the probability density function. We show that for sufficiently long times this density approaches a Γ distribution with time-varying shape and scale parameters. Not far from the origin the process obeys a power law with an exponent dependent of time, thereby concluding that accessibility to the origin is not static but dynamic. We finally discuss some possible applications of the process. |
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