Time-inhomogeneous jump processes and variable order operators

DOI10.1007/S11118-016-9551-4zbMATH Open1361.60075arXiv1506.06893OpenAlexW2259611926MaRDI QIDQ334899FDOQ334899

Authors: Enzo Orsingher, Costantino Ricciuti, Bruno Toaldo 

Publication date: 1 November 2016

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

Abstract: In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are possibly different Bernv{s}tein functions for each time $t$. By means of these processes, a generalization of subordinate semigroups in the sense of Bochner is proposed. Because of time-inhomogeneity, two-parameter semigroups (propagators) arise and we provide a Phillips formula which leads to time dependent generators. The inverse processes are also investigated and the corresponding governing equations obtained in the form of generalized variable order fractional equations. An application to a generalized subordinate Brownian motion is also examined.

Full work available at URL: https://arxiv.org/abs/1506.06893

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zbMATH Keywords

fractional Laplacianfractional calculussubordinate Brownian motionsubordinatorsPoisson point processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Bern%EF%BF%BD%EF%BF%BDtein+functions&go=Go Bern��tein functions]multistable processtime-dependent generatorstime-inhomogeneous jump processestwo-parameter semigroups

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

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Cited In (17)

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