13 citations · 13 across the 3 of their papers we have counts for
4 papers
Fractional Bessel Process with Constant Drift: Spectral Analysis and Queueing Applications
Ivan Papić
We introduce a fractional Bessel process with constant negative drift, defined as a time-changed Bessel process via the inverse of a stable subordinator, independent of the base pr…
Stretched non-local Pearson diffusions
Luisa Beghin, Nikolai Leonenko, Ivan Papić +1
We define a novel class of time changed Pearson diffusions, termed stretched non local Pearson diffusions, where the stochastic time change model has the Kilbas Saigo function as i…
Correlated continuous time random walks and fractional Pearson diffusions
Nikolai N. Leonenko, Ivan Papić, Alla Sikorskii +1
Continuous time random walks have random waiting times between particle jumps. We define the correlated continuous time random walks (CTRWs) that converge to fractional Pearson dif…
Heavy-tailed fractional Pearson diffusions
Nikolai N. Leonenko, Ivan Papić, Alla Sikorskii +1
We define heavy-tailed fractional reciprocal gamma and Fisher-Snedecor diffusions by a non-Markovian time change in the corresponding Pearson diffusions. Pearson diffusions are gov…