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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Detalhes bibliográficos
Autor: Masoliver, Jaume, 1951-
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2016
País:España
Recursos:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/96380
Acesso em linha:https://hdl.handle.net/2445/96380
Access Level:acceso abierto
Palavra-chave:Física matemàtica
Processos estocàstics
Mathematical physics
Stochastic processes
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spelling Nonstationary Feller process with time-varying coefficientsMasoliver, Jaume, 1951-Física matemàticaProcessos estocàsticsMathematical physicsStochastic processesWe 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.American Physical Society2016info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2445/96380Articles publicats en revistes (Física de la Matèria Condensada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésReproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.93.012122Physical Review E, 2016, vol. 93, p. 012122-1 -012122-11http://dx.doi.org/10.1103/PhysRevE.93.012122(c) American Physical Society, 2016info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/963802026-05-27T06:46:51Z
dc.title.none.fl_str_mv Nonstationary Feller process with time-varying coefficients
title Nonstationary Feller process with time-varying coefficients
spellingShingle Nonstationary Feller process with time-varying coefficients
Masoliver, Jaume, 1951-
Física matemàtica
Processos estocàstics
Mathematical physics
Stochastic processes
title_short Nonstationary Feller process with time-varying coefficients
title_full Nonstationary Feller process with time-varying coefficients
title_fullStr Nonstationary Feller process with time-varying coefficients
title_full_unstemmed Nonstationary Feller process with time-varying coefficients
title_sort Nonstationary Feller process with time-varying coefficients
dc.creator.none.fl_str_mv Masoliver, Jaume, 1951-
author Masoliver, Jaume, 1951-
author_facet Masoliver, Jaume, 1951-
author_role author
dc.subject.none.fl_str_mv Física matemàtica
Processos estocàstics
Mathematical physics
Stochastic processes
topic Física matemàtica
Processos estocàstics
Mathematical physics
Stochastic processes
description 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.
publishDate 2016
dc.date.none.fl_str_mv 2016
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/96380
url https://hdl.handle.net/2445/96380
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.93.012122
Physical Review E, 2016, vol. 93, p. 012122-1 -012122-11
http://dx.doi.org/10.1103/PhysRevE.93.012122
dc.rights.none.fl_str_mv (c) American Physical Society, 2016
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) American Physical Society, 2016
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv American Physical Society
publisher.none.fl_str_mv American Physical Society
dc.source.none.fl_str_mv Articles publicats en revistes (Física de la Matèria Condensada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.300719

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