Zobrazeno 1 - 10
of 249
pro vyhledávání: '"PIROZZI, ENRICA"'
Autor:
Pirozzi, Enrica1 (AUTHOR) enrica.pirozzi@unicampania.it
Publikováno v:
Mathematics (2227-7390). Oct2024, Vol. 12 Issue 19, p3094. 20p.
In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish that, despite the time change, the process admits a Gaussian limit random
Externí odkaz:
http://arxiv.org/abs/2011.02733
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. Such kind
Externí odkaz:
http://arxiv.org/abs/2009.12086
Publikováno v:
Methodol Comput Appl Probab (2019)
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and covariance f
Externí odkaz:
http://arxiv.org/abs/2009.11688
We consider a telegraph process with elastic boundary at the origin studied recently in the literature. It is a particular random motion with finite velocity which starts at $x\geq 0$, and its dynamics is determined by upward and downward switching r
Externí odkaz:
http://arxiv.org/abs/2009.05294
In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of orthogona
Externí odkaz:
http://arxiv.org/abs/2007.13656
In this paper we study some properties of the generalized Fokker-Planck equation induced by the time-changed fractional Ornstein-Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such equation is a
Externí odkaz:
http://arxiv.org/abs/2005.12628
In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral methods. Moreover, we give a stochastic representation of the solution
Externí odkaz:
http://arxiv.org/abs/1907.07588
Publikováno v:
Fract. Calc. Appl. Anal. Vol. 23, No 2 (2020)
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is sho
Externí odkaz:
http://arxiv.org/abs/1907.04847
Autor:
Abundo, Mario, Pirozzi, Enrica
We investigate the stochastic processes obtained as the fractional Riemann-Liouville integral of order $\alpha \in (0,1)$ of Gauss-Markov processes. The general expressions of the mean, variance and covariance functions are given. Due to the central
Externí odkaz:
http://arxiv.org/abs/1905.08167