In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the generator or the Fokker–Planck operator of a Pearson diffusion, covering a large class of important stochastic processes. Such kind of time-non-local equations naturally arise in the treatment of particle motion in heterogeneous media. In particular, we use spectral decomposition results for the usual Pearson diffusions to exploit explicit solutions of the aforementioned equations. Moreover, we provide stochastic representation of such solutions in terms of time-changed Pearson diffusions. Finally, we exploit some further properties of these processes, such as limit distributions and long/short-range dependence.
Time-Non-Local Pearson Diffusions
Pirozzi E.
2021
Abstract
In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the generator or the Fokker–Planck operator of a Pearson diffusion, covering a large class of important stochastic processes. Such kind of time-non-local equations naturally arise in the treatment of particle motion in heterogeneous media. In particular, we use spectral decomposition results for the usual Pearson diffusions to exploit explicit solutions of the aforementioned equations. Moreover, we provide stochastic representation of such solutions in terms of time-changed Pearson diffusions. Finally, we exploit some further properties of these processes, such as limit distributions and long/short-range dependence.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
