362 research outputs found
Geometric Stable processes and related fractional differential equations
We are interested in the differential equations satisfied by the density of
the Geometric Stable processes
, with stability \ index 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 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.Comment: 12 page
Long-memory Gaussian processes governed by generalized Fokker-Planck equations
It is well-known that the transition function of the Ornstein-Uhlenbeck
process solves the Fokker-Planck equation. This standard setting has been
recently generalized in different directions, for example, by considering the
so-called -stable driven Ornstein-Uhlenbeck, or by time-changing the
original process with an inverse stable subordinator. In both cases, the
corresponding partial differential equations involve fractional derivatives (of
Riesz and Riemann-Liouville types, respectively) and the solution is not
Gaussian. We consider here a new model, which cannot be expressed by a random
time-change of the original process: we start by a Fokker-Planck equation (in
Fourier space) with the time-derivative replaced by a new fractional
differential operator. The resulting process is Gaussian and, in the stationary
case, exhibits a long-range dependence. Moreover, we consider further
extensions, by means of the so-called convolution-type derivative.Comment: 24, accepted for publicatio
Multivariate fractional Poisson processes and compound sums
In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (nonfractional) Poisson processes. In some cases we also consider compound processes. We obtain
some equations in terms of some suitable fractional derivatives and fractional difference operators, which provides the extension of known equations for the univariate processes
Large deviations for fractional Poisson processes
We prove large deviation principles for two versions of fractional Poisson
processes. Firstly we consider the main version which is a renewal process; we
also present large deviation estimates for the ruin probabilities of an
insurance model with constant premium rate, i.i.d. light tail claim sizes, and
a fractional Poisson claim number process. We conclude with the alternative
version where all the random variables are weighted Poisson distributed.
Keywords: Mittag Leffler function; renewal process; random time ch
Fractional diffusion equations and processes with randomly varying time
In this paper the solutions to fractional diffusion
equations of order are analyzed and interpreted as densities of
the composition of various types of stochastic processes. For the fractional
equations of order , we show that the solutions
correspond to the distribution of the -times iterated Brownian
motion. For these processes the distributions of the maximum and of the sojourn
time are explicitly given. The case of fractional equations of order , is also investigated and related to Brownian motion
and processes with densities expressed in terms of Airy functions. In the
general case we show that coincides with the distribution of Brownian
motion with random time or of different processes with a Brownian time. The
interplay between the solutions and stable distributions is also
explored. Interesting cases involving the bilateral exponential distribution
are obtained in the limit.Comment: Published in at http://dx.doi.org/10.1214/08-AOP401 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
The distribution of the local time for "pseudo-processes" and its connections with fractional diffusion equations
We prove that the pseudoprocesses governed by heat-type equations
of order have a local time in zero (denoted by
) whose distribution coincides with the folded
fundamental solution of a fractional diffusion equation of order
: The distribution of is also
expressed in terms of stable laws of order and their
form is analyzed. Furthermore, it is proved that the distribution
of is connected with a wave equation as
. The distribution of the local time in zero
for the pseudoprocess related to the Myiamoto’s equation is also
derived and examined together with the corresponding
telegraph-type fractional equation
Poisson-type processes governed by fractional and higher-order recursive differential equations
We consider some fractional extensions of the recursive differential equation
governing the Poisson process, by introducing combinations of different
fractional time-derivatives. We show that the so-called "Generalized
Mittag-Leffler functions" (introduced by Prabhakar [20]) arise as solutions of
these equations. The corresponding processes are proved to be renewal, with
density of the intearrival times (represented by Mittag-Leffler functions)
possessing power, instead of exponential, decay, for t tending to infinite. On
the other hand, near the origin the behavior of the law of the interarrival
times drastically changes for the parameter fractional parameter varying in the
interval (0,1). For integer values of the parameter, these models can be viewed
as a higher-order Poisson processes, connected with the standard case by simple
and explict relationships.Comment: 37 pages, 1 figur
Multivariate fractional Poisson processes and compound sums
In this paper we present multivariate space-time fractional Poisson processes
by considering common random time-changes of a (finite-dimensional) vector of
independent classical (non-fractional) Poisson processes. In some cases we also
consider compound processes. We obtain some equations in terms of some suitable
fractional derivatives and fractional difference operators, which provides the
extension of known equations for the univariate processes.Comment: 19 pages Keywords: conditional independence, Fox-Wright function,
fractional differential equations, random time-chang
- …