Pseudo-differential operators and related additive geometric stable processes

arXiv1708.03159MaRDI QIDQ6289976FDOQ6289976

Publication date: 10 August 2017

Abstract: Additive processes are obtained from L'{e}vy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define an infinitesimal generator, which is, of course, a time-dependent operator. Additive versions of stable and Gamma processes have been considered in the literature. We introduce here time-inhomogeneous generalizations of the well-known geometric stable process, defined by means of time-dependent versions of fractional pseudo-differential operators of logarithmic type. The local L'{e}vy measures are expressed in terms of Mittag-Leffler functions or

H

-functions with time-dependent parameters.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional derivatives and integrals (26A33) Stable stochastic processes (60G52)

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