Mellin convolution for subordinated stable processes

DOI10.1007/S10958-006-0008-YMaRDI QIDQ2255662zbMATH OpenOpenAlexFDO

Authors Gianni Pagnini, Francesco Mainardi, Rudolf Gorenflo

Publication date 17 February 2015

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-006-0008-y

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

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• Black-Scholes model under subordination
• Can one see \(\alpha\)-stable variables and processes?
• Chance and Stability
• Salvatore Pincherle: the pioneer of the Mellin-Barnes integrals.
• Stochastic solution of space-time fractional diffusion equations
• The fundamental solution of the space-time fractional diffusion equation

Cited in

(3)

• Some properties of the one-dimensional subordinated stable model
• A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
• Two-particle anomalous diffusion: probability density functions and self-similar stochastic processes

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