Geometric stable processes and related fractional differential equations

DOI10.1214/ECP.V19-2771zbMATH Open1321.60101arXiv1304.7915MaRDI QIDQ743089FDOQ743089

Authors: L. Beghin 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We are interested in the differential equations satisfied by the density of the Geometric Stable processes $$, with stability index $\mathrm{\%}alphain(0,2]$ and asymmetry parameter $$, both in the univariate and in the multivariate cases. We resort to their representation as compositions of stable processes with an independent Gamma subordinator. As a preliminary result, we prove that the latter is governed by a differential equation expressed by means of the shift operator. As a consequence, we obtain the space-fractional equation satisfied by the density of $$ For some particular values of $\mathrm{\%}alpha$ and $$ we get some interesting results linked to well-known processes, such as the Variance Gamma process and the first passage time of the Brownian motion.

Full work available at URL: https://arxiv.org/abs/1304.7915

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zbMATH Keywords

fractional differential equationsshift operatorRiesz-Feller fractional derivativegamma subordinatorgeometric stable processes

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Stable stochastic processes (60G52) Mittag-Leffler functions and generalizations (33E12)

Cited In (17)

• The logarithmic Schrödinger operator and associated Dirichlet problems
• On the inverse gamma subordinator
• Prabhakar Lévy processes
• Fractional gamma and gamma-subordinated processes
• Analysis of the Lévy Flight Foraging Hypothesis in \(\mathbb{R}^{n}\) and Unreliability of the Most Rewarding Strategies
• Fractional diffusion-type equations with exponential and logarithmic differential operators
• Additive geometric stable processes and related pseudo-differential operators
• The fractional logarithmic Schrödinger operator: properties and functional spaces
• Variance gamma (nonlocal) equations
• Small order limit of fractional Dirichlet sublinear-type problems
• Space-fractional versions of the negative binomial and Polya-type processes
• Tempered Mittag-Leffler Lévy processes
• Generalized Mittag-Leffler Lévy process and its connections to first passage times of Lévy subordinators
• On fractional tempered stable processes and their governing differential equations
• Linnik Lévy process and some extensions
• Generalized fractional Laplace motion
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