Results 1 to 10 of about 122 (110)
INVERSE STABLE SUBORDINATORS. [PDF]
Math Model Nat Phenom, 2013 The inverse stable subordinator provides a probability model for time-fractional differential equations, and leads to explicit solution formulae. This paper reviews properties of the inverse stable subordinator, and applications to a variety of problems in mathematics and physics.
Meerschaert MM, Straka P.
europepmc +4 more sources
On the infinite divisibility of distributions of some inverse subordinators [PDF]
Modern Stochastics: Theory and Applications, 2018 We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely divisible.
Arun Kumar, Erkan Nane
doaj +3 more sources
The Fractional Poisson Process and the Inverse Stable Subordinator
Electronic Journal of Probability, 2011 22 pages, version submitted on December 2 ...
Mark M Meerschaert +2 more
exaly +5 more sources
Subdiffusive option price model with Inverse Gaussian subordinator
Modern Stochastics: Theory and ApplicationsThe paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is a quite common situation in modern illiquid financial markets or during global crises.
Nataliya Shchestyuk, Sergii Tyshchenko
doaj +4 more sources
Regularity and asymptotics of densities of inverse subordinators
Transactions of the London Mathematical SocietyIn this article, densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, employing a useful modification of the saddle point method, we ...
Giacomo Ascione +2 more
doaj +4 more sources
Applications of inverse tempered stable subordinators
Computers and Mathematics With Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mahmoud S Rawashdeh +2 more
exaly +2 more sources
On the Fractional Poisson Process and the Discretized Stable Subordinator
Axioms, 2015 We consider the renewal counting number process N = N(t) as a forward march over the non-negative integers with independent identically distributed waiting times.
Rudolf Gorenflo, Francesco Mainardi
doaj +3 more sources
Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator
Filomat, 2018 This paper deals with a characterization of the first-exit time of the inverse Gaussian subordinator in terms of natural exponential family. This leads us to characterize, by means its variance function, the class of L?vy processes time-changed by the first-exit time of the inverse Gaussian subordinator.
Farouk Mselmi
exaly +3 more sources
On the inverse gamma subordinator
Stochastic Analysis and Applications, 2022 In this paper we deal with some open problems concerned with gamma subordinators. In particular, we provide a representation for the moments of the inverse gamma subordinator. Then, we focus on $λ$-potentials and we study the governing equations associated with gamma subordinators and inverse processes. Such representations are given in terms of higher
Colantoni F., D'Ovidio M.
openaire +2 more sources
Inverse tempered stable subordinators [PDF]
Statistics & Probability Letters, 2015 17 pages, 2 ...
A. Kumar, P. Vellaisamy
openaire +2 more sources