A renewal-process-type expression for the moments of inverse subordinators

DOI10.1239/JAP/1134587822zbMath1094.60057OpenAlexW2033274055MaRDI QIDQ5476154

Andreas Nordvall Lagerås

Publication date: 29 June 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1134587822

zbMATH Keywords

renewal theorylocal timeCox processpassage time

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

Related Items (15)

Asymptotic behaviour of ancestral lineages in subcritical continuous-state branching populations ⋮ Langevin picture of subdiffusion with infinitely divisible waiting times ⋮ Numerical computation of first-passage times of increasing Lévy processes ⋮ Asymptotic properties of Brownian motion delayed by inverse subordinators ⋮ Ergodic properties of Lévy flights coexisting with subdiffusion and related models ⋮ Random-time processes governed by differential equations of fractional distributed order ⋮ Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes ⋮ Large deviations for subordinated Brownian motion and applications ⋮ The tempered stable process with infinitely divisible inverse subordinators ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes ⋮ Path Properties of Subdiffusion—A Martingale Approach ⋮ Stochastic representation of subdiffusion processes with time-dependent drift ⋮ Characterizing anomalous diffusion by studying displacements ⋮ Moment-based estimation for parameters of general inverse subordinator

Cites Work

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• An introduction to the theory of point processes
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• Diffusion local time storage
• STATIONARITY OF DELAYED SUBORDINATORS
• Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
• Limit theorems for occupation times of Markov processes

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