Asymptotic properties of Brownian motion delayed by inverse subordinators
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Publication:2944801
Abstract: We study the asymptotic behaviour of the time-changed stochastic process , where is a standard one-dimensional Brownian motion and is the (generalized) inverse of a subordinator, i.e. the first-passage time process corresponding to an increasing L'evy process with Laplace exponent . 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 .
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Cited in
(42)- Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
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