Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups

DOI10.1007/s11118-014-9426-5zbMath1315.60050arXiv1308.1327OpenAlexW3100110786MaRDI QIDQ2512909

Bruno Toaldo

Publication date: 2 February 2015

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

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

zbMATH Keywords

subordinatorfractional calculusLévy measurehitting timeinverse processconvolution-type integro-differential operatorstime-changed \(C_0\)-semigroups

Mathematics Subject Classification ID

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

Related Items (53)

Stochastic applications of Caputo-type convolution operators with nonsingular kernels ⋮ First passage times over stochastic boundaries for subdiffusive processes ⋮ Non-local solvable birth-death processes ⋮ On semi-Markov processes and their Kolmogorov's integro-differential equations ⋮ Spectral projections correlation structure for short-to-long range dependent processes ⋮ A sojourn-based approach to semi-Markov reinforcement learning ⋮ Solutions of fractional logistic equations by Euler's numbers ⋮ Time-inhomogeneous jump processes and variable order operators ⋮ Tempered relaxation equation and related generalized stable processes ⋮ Fractional equations via convergence of forms ⋮ Fractional Herglotz variational principles with generalized Caputo derivatives ⋮ Time fractional equations and probabilistic representation ⋮ Generalized Mittag-Leffler Lévy process and its connections to first passage times of Lévy subordinators ⋮ The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process ⋮ Models of space-time random fields on the sphere ⋮ Semi-Markov models and motion in heterogeneous media ⋮ On self-similar Bernstein functions and corresponding generalized fractional derivatives ⋮ On the inverse gamma subordinator ⋮ Analyses of the contour integral method for time fractional normal-subdiffusion transport equation ⋮ Variance gamma (nonlocal) equations ⋮ Fractional Poisson processes of order \(k\) and beyond ⋮ Nonlocal in-time telegraph equation and telegraph processes with random time ⋮ From semi-Markov random evolutions to scattering transport and superdiffusion ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Time-changed fractional Ornstein-Uhlenbeck process ⋮ Compound Poisson processes: potentials, Green measures and random times ⋮ A subdiffusive stochastic volatility jump model ⋮ Elastic drifted Brownian motions and non-local boundary conditions ⋮ General fractional classical mechanics: action principle, Euler-Lagrange equations and Noether theorem ⋮ Commutative and associative properties of the Caputo fractional derivative and its generalizing convolution operator ⋮ Asymptotics of fundamental solutions for time fractional equations with convolution kernels ⋮ Random time change and related evolution equations. Time asymptotic behavior ⋮ Long-memory Gaussian processes governed by generalized Fokker-Planck equations ⋮ Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes ⋮ Non-local logistic equations from the probability viewpoint ⋮ Stochastic representation of solution to nonlocal-in-time diffusion ⋮ Spectral analysis of fractional hyperbolic diffusion equations with random data ⋮ Prabhakar Lévy processes ⋮ Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator ⋮ Delayed and rushed motions through time change ⋮ On fractional heat equation ⋮ Relaxation patterns and semi-Markov dynamics ⋮ Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation ⋮ Abstract Cauchy problems for the generalized fractional calculus ⋮ Time-non-local Pearson diffusions ⋮ Fractional Cauchy problem on random snowflakes ⋮ Self-similar Cauchy problems and generalized Mittag-Leffler functions ⋮ On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators ⋮ Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution ⋮ From time to times ⋮ Stochastic solutions for time-fractional heat equations with complex spatial variables ⋮ Lévy mixing related to distributed order calculus, subordinators and slow diffusions ⋮ Discussion on the paper ``On simulation and properties of the stable law by L. Devroye and L. James

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Correlation structure of fractional Pearson diffusions
• General fractional calculus, evolution equations, and renewal processes
• From Sturm-Liouville problems to fractional and anomalous diffusions
• Tempering stable processes
• Triangular array limits for continuous time random walks
• Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
• Fractional kinetic equation for Hamiltonian chaos
• Fractional diffusion equations and processes with randomly varying time
• Time-fractional telegraph equations and telegraph processes with Brownian time
• Variable order and distributed order fractional operators
• Fractional Cauchy problems on bounded domains
• On the generation of semigroups of linear operators
• Random Walks on Lattices. II
• Potential Theory of Subordinate Brownian Motion
• The stability of matter: from atoms to stars
• One-Parameter Semigroups for Linear Evolution Equations
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Fractional kinetic equations: solutions and applications
• Inverse Stable Subordinators
• The Caputo Fractional Derivative: Initialization Issues Relative to Fractional Differential Equation
• Long Range Dependence
• Diffusion Equation and Stochastic Processes
• Stochastic models for fractional calculus
• Bernstein functions. Theory and applications

This page was built for publication: Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups