Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
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Publication:2196551
anomalous diffusioncontinuous time random walksfractional operatorsmultivariate Lévy processesrandom time-changesubordinators
Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Continuous-time Markov processes on discrete state spaces (60J27) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
Abstract: It is well-known that compositions of Markov processes with inverse subordinators are governed by integro-differential equations of generalized fractional type. This kind of processes are of wide interest in statistical physics as they are connected to anomalous diffusions. In this paper we consider a generalization; more precisely we mean componentwise compositions of -valued Markov processes with the components of an independent multivariate inverse subordinator. As a possible application, we present a model of anomalous diffusion in anisotropic medium, which is obtained as a weak limit of suitable continuous-time random walks.
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