The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

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Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “Recently, generalizing the recursive method used in Forman and Sørensen (2008) for Pearson-type diffusions, Cuchiero et al. (2010b) proposed an alternative method to compute the coefficients of this polynomial.”
From State Dependent Diffusion to Constant Diffusion in Stochastic Differential Equations by the Lamperti Transform (2010, background): “A quite flexible system whereψ−1 is available is the Pearson diffusion (Forman and Sørensen , 2008), which is considered in the following example.”