Non-Gaussian measures in infinite dimensional spaces: the Gamma-Grey noise

DOI10.1007/S11118-023-10099-0arXiv2207.13609OpenAlexW4386098049MaRDI QIDQ6131720FDOQ6131720

Authors: L. Beghin, Lorenzo Cristofaro, Janusz Gajda 

Publication date: 18 April 2024

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

Abstract: In the context of non-Gaussian analysis, Schneider [27] introduced grey noise measures, built upon Mittag-Leffler functions; analogously, grey Brownian motion and its generalizations were constructed (see, for example, [25], [6], [7], [8]). In this paper, we construct and study a new non-Gaussian measure, by means of the incomplete-gamma function (exploiting its complete monotonicity). We label this measure Gamma-grey noise and we prove, for it, the existence of Appell system. The related generalized processes, in the infinite dimensional setting, are also defined and, through the use of the Riemann-Liouville fractional operators, the (possibly tempered) Gamma-grey Brownian motion is consequently introduced. A number of different characterizations of these processes are also provided, together with the integro-differential equation satisfied by their transition densities. They allow to model anomalous diffusions, mimicking the procedures of classical stochastic calculus.

Full work available at URL: https://arxiv.org/abs/2207.13609

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zbMATH Keywords

fractional Brownian motionhitting timescompletely monotone functionselliptically contoured measuresincomplete Gamma functionGrey noise

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Generalized stochastic processes (60G20) White noise theory (60H40) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Cited In (3)

• Fox-\(H\) densities and completely monotone generalized Wright functions
• Cameron–Martin type theorem for a class of non-Gaussian measures
• Fractional Gamma noise functionals

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