Time-inhomogeneous jump processes and variable order operators (Q334899): Difference between revisions

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Latest revision as of 20:12, 12 July 2024

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Time-inhomogeneous jump processes and variable order operators
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    Time-inhomogeneous jump processes and variable order operators (English)
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    1 November 2016
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    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.
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    time-inhomogeneous jump processes
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    subordinators
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    Poisson point processes
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    two-parameter semigroups
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    time-dependent generators
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    multistable process
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    Bernštein functions
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    fractional calculus
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    fractional Laplacian
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    subordinate Brownian motion
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