Convolution-type derivatives, hitting-times of subordinators and time-changed C₀-semigroups

DOI10.1007/S11118-014-9426-5zbMATH Open1315.60050arXiv1308.1327OpenAlexW3100110786MaRDI QIDQ2512909FDOQ2512909

Authors: Bruno Toaldo 

Publication date: 2 February 2015

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper we will take under consideration subordinators and their inverse processes (hitting-times). We will present in general the governing equations of such processes by means of convolution-type integro-differential operators similar to the fractional derivatives. Furthermore we will discuss the concept of time-changed $C_0$-semigroup in case the time-change is performed by means of the hitting-time of a subordinator. We will show that such time-change give rise to bounded linear operators not preserving the semigroup property and we will present their governing equations by using again integro-differential operators. Such operators are non-local and therefore we will investigate the presence of long-range dependence.

Full work available at URL: https://arxiv.org/abs/1308.1327

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zbMATH Keywords

hitting timesubordinatorfractional calculus[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]inverse processconvolution-type integro-differential operatorstime-changed \(C_0\)-semigroups

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-differential operators (47G20) Transition functions, generators and resolvents (60J35) Functional-differential equations in abstract spaces (34K30) One-parameter semigroups and linear evolution equations (47D06)

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