Fitxers
Tipus de document
ArticleVersió
Versió publicadaData de publicació
Tots els drets reservats
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/96380
Nonstationary Feller process with time-varying coefficients
Títol de la revista
Autors
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
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.
Matèries
Matèries (anglès)
Citació
Citació
MASOLIVER, Jaume. Nonstationary Feller process with time-varying coefficients. Physical Review E. 2016. Vol. 93, num. 012122-1 -012122-11. ISSN 1539-3755. [consulted: 27 of May of 2026]. Available at: https://hdl.handle.net/2445/96380