Asymptotic properties of Brownian motion delayed by inverse subordinators

DOI10.1090/PROC/12588zbMATH Open1329.60291arXiv1311.6043OpenAlexW2026661822MaRDI QIDQ2944801FDOQ2944801

Authors: Marcin Magdziarz, R. L. Schilling 

Publication date: 8 September 2015

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Abstract: We study the asymptotic behaviour of the time-changed stochastic process $vphantom{X}^f!X(t)=B(vphantom{S}^f!S(t))$, where $B$ is a standard one-dimensional Brownian motion and $vphantom{S}^f!S$ is the (generalized) inverse of a subordinator, i.e. the first-passage time process corresponding to an increasing L'evy process with Laplace exponent $f$. This type of processes plays an important role in statistical physics in the modeling of anomalous subdiffusive dynamics. The main result of the paper is the proof of the mixing property for the sequence of stationary increments of a subdiffusion process. We also investigate various martingale properties, derive a generalized Feynman-Kac formula, the laws of large numbers and of the iterated logarithm for $vphantom{X}^f!X$.

Full work available at URL: https://arxiv.org/abs/1311.6043

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zbMATH Keywords

ergodicityBrownian motionmixinglaws of large numberslaw of iterated logarithminverse subordinators

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Strong limit theorems (60F15) Sample path properties (60G17) Stable stochastic processes (60G52)

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