Time Scale Transformation in Bivariate Pearson Diffusions: A Shift from Light to Heavy Tails
Heavy-tailed Pearson diffusions provide a natural alternative to well-known Ornstein–Uhlenbeck and Cox–Ingersoll–Ross processes in applications that require addressing heavy-tailed behavior. In this paper, all three heavy-tailed Pearson diffusions, having inverse gamma, Fisher–Snedecor and Student s...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-11-01
|
| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/13/11/765 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|