Time-inhomogeneous jump processes and variable order operators (Q334899): Difference between revisions
From MaRDI portal
Latest revision as of 20:12, 12 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Time-inhomogeneous jump processes and variable order operators |
scientific article |
Statements
Time-inhomogeneous jump processes and variable order operators (English)
0 references
1 November 2016
0 references
This paper is concerned with subordinators constructed from time-inhomogeneous Poisson point processes, which have independent and non-stationary increments. Classical results on Lévy subordinators are extended from the time stationary case to the non-stationary setting, and the equations governing the probability density function of the subordinator and its inverse process are written as variable order fractional equations. It is also shown how non-homogeneous subordination leads to two-parameter Bochner semigroups with time-dependent generators. This is applied in particular to time changes of Brownian motion via non-homogeneous subordinators.
0 references
time-inhomogeneous jump processes
0 references
subordinators
0 references
Poisson point processes
0 references
two-parameter semigroups
0 references
time-dependent generators
0 references
multistable process
0 references
Bernštein functions
0 references
fractional calculus
0 references
fractional Laplacian
0 references
subordinate Brownian motion
0 references
0 references
0 references
0 references
0 references