Evolution equations for Lévy stable processes

DOI10.1023/A:1026632020056MaRDI QIDQ1964577zbMATH OpenFDO

Authors V. V. Uchaikin

Publication date 20 February 2000

Published in International Journal of Theoretical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1026632020056

zbMATH Keywords

stable Lévy process

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Review text

Let \(p(\cdot,t)\) be the probability density of the distribution of some stable Lévy process evaluated at time \(t>0\). This gives rise to a convolution semigroup which satisfies the so-called `evolution equation' \({\partial p\over \partial t}=Lp(\cdot,t),\) where \(L\) is the infinitesimal generator of the process. Explicit (known) formulas for \(L\) are presented.

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