Speaker
Ivan Papić
(School of Applied Mathematics and Informatics, University of Osijek)
Description
We propose a fractional diffusion process based on the (non-fractional) Bessel process with constant negative drift. The model is obtained as stochastically time-changed Bessel process with constant negative drift through inverse stable subordinator of order $0<\alpha <1$. Spectral representation of the transition density of fractional Bessel process is calculated. Based on this representation, we are able to provide explicit fractional representation of the model via time-fractional backward Kolmogorov equation. Moreover, we provide the corresponding stationary distribution, discuss the long-range dependence property and solve fractional Cauchy problems involving the generator of the process.
Primary author
Ivan Papić
(School of Applied Mathematics and Informatics, University of Osijek)
