Geometric stable processes and related fractional differential equations
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1. | Title | Title of document | Geometric stable processes and related fractional differential equations |
2. | Creator | Author's name, affiliation, country | Luisa Beghin; Sapienza University of Rome; Italy |
3. | Subject | Discipline(s) | |
3. | Subject | Keyword(s) | Symmetric Geometric Stable law; Geometric Stable subordinator; Shift operator; Riesz-Feller fractional derivative; Gamma subordinator. |
3. | Subject | Subject classification | 60G52; 34A08; 33E12; 26A33. |
4. | Description | Abstract | We are interested in the differential equations satisfied by the density of the Geometric Stable processes $\mathcal{G}_{\alpha }^{\beta }=\left\{\mathcal{G}_{\alpha }^{\beta }(t);t\geq 0\right\} $, with stability \ index $\alpha \in (0,2]$ and symmetry parameter $\beta \in \lbrack -1,1]$, 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 $\mathcal{G}_{\alpha }^{\beta }$. For some particular values of $\alpha $ and $\beta $, 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. |
5. | Publisher | Organizing agency, location | |
6. | Contributor | Sponsor(s) | |
7. | Date | (YYYY-MM-DD) | 2014-03-01 |
8. | Type | Status & genre | Peer-reviewed Article |
8. | Type | Type | |
9. | Format | File format | |
10. | Identifier | Uniform Resource Identifier | http://ecp.ejpecp.org/article/view/2771 |
10. | Identifier | Digital Object Identifier | 10.1214/ECP.v19-2771 |
11. | Source | Journal/conference title; vol., no. (year) | Electronic Communications in Probability; Vol 19 |
12. | Language | English=en | en |
14. | Coverage | Geo-spatial location, chronological period, research sample (gender, age, etc.) | |
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