The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

  title={The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes},
  author={Julie Lyng Forman and Michael S{\O}rensen},
  journal={Scandinavian Journal of Statistics},
Abstract.  The Pearson diffusions form a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. A complete model classification is presented for the ergodic Pearson diffusions. The class of stationary distributions equals the full Pearson system of distributions. Well‐known instances are the Ornstein–Uhlenbeck processes and the square root (CIR) processes. Also… 

High-order approximation of Pearson diffusion processes

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