Results 1 to 10 of about 54 (54)
Modern Stochastics: Theory and Applications, 2020 We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. This kind of processes are useful in the study of chain molecular diffusions.
Luisa Beghin +2 more
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On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy
Mathematics, 2022 The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment.
Enrica Pirozzi
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Cesaro Limits for Fractional Dynamics
Fractal and Fractional, 2021 We study the asymptotic behavior of random time changes of dynamical systems. As random time changes we propose three classes which exhibits different patterns of asymptotic decays.
Yuri Kondratiev, José da Silva
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Noncentral moderate deviations for fractional Skellam processes
Modern Stochastics: Theory and Applications, 2023 The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to
Jeonghwa Lee, Claudio Macci
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A New Fractional Poisson Process Governed by a Recursive Fractional Differential Equation
Fractal and Fractional, 2022 This paper proposes a new fractional Poisson process through a recursive fractional differential governing equation. Unlike the homogeneous Poison process, the Caputo derivative on the probability distribution of k jumps with respect to time is linked to
Zhehao Zhang
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Poissonian resetting of subdiffusion in a linear potential
Condensed Matter Physics, 2023 Resetting a stochastic process is an important problem describing the evolution of physical, biological and other systems which are continually returned to their certain fixed point. We consider the motion of a subdiffusive particle with a constant drift
A. A. Stanislavsky
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On the infinite divisibility of distributions of some inverse subordinators
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
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Lévy-walk-like Langevin dynamics
New Journal of Physics, 2019 Continuous-time random walks and Langevin equations are two classes of stochastic models used to describe the dynamics of particles in the natural world.
Xudong Wang, Yao Chen, Weihua Deng
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Compositions of Poisson and Gamma processes
Modern Stochastics: Theory and Applications, 2017 In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes.
Khrystyna Buchak, Lyudmyla Sakhno
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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
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