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Journal ArticleDOI

Convolution-type derivatives, hitting-times of subordinators and time-changed $C_0$-semigroups

TL;DR: In this paper, the authors take under consideration subordinators and their inverse processes (hitting-times) and present the governing equations of such processes by means of convolution-type integro-differential operators similar to the fractional derivatives.
Abstract: In this paper we will take under consideration subordinators and their inverse processes (hitting-times). We will present in general the governing equations of such processes by means of convolution-type integro-differential operators similar to the fractional derivatives. Furthermore we will discuss the concept of time-changed $C_0$-semigroup in case the time-change is performed by means of the hitting-time of a subordinator. We will show that such time-change give rise to bounded linear operators not preserving the semigroup property and we will present their governing equations by using again integro-differential operators. Such operators are non-local and therefore we will investigate the presence of long-range dependence.
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Book
01 Jan 2013
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Abstract: Preface to the revised edition Remarks on notation 1. Basic examples 2. Characterization and existence 3. Stable processes and their extensions 4. The Levy-Ito decomposition of sample functions 5. Distributional properties of Levy processes 6. Subordination and density transformation 7. Recurrence and transience 8. Potential theory for Levy processes 9. Wiener-Hopf factorizations 10. More distributional properties Supplement Solutions to exercises References and author index Subject index.

1,957 citations

Journal ArticleDOI
TL;DR: In this article, the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without drifts, were studied.
Abstract: In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without drifts. An explicit relation between occupation measure for Markov processes time-changed by inverse subordinator in open sets and that of the original Markov process in the open set is also given.

100 citations

Journal ArticleDOI
TL;DR: In this paper, a method based on Bernstein functions was proposed to unify three different approaches in the literature, including power law relaxation, semi-Markov process and semi-Maximax relaxation.

48 citations

Journal ArticleDOI
TL;DR: The governing equation of the Tempered Stable Subordinator is derived, which generalizes the space-fractional differential equation satisfied by the law of the α-stable subordinator itself and is expressed in terms of the shifted fractional derivative of order α ?

31 citations

References
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Book
29 Oct 1999
TL;DR: In this paper, Spectral Theory for Semigroups and Generators is used to describe the exponential function of a semigroup and its relation to generators and resolvents.
Abstract: Linear Dynamical Systems.- Semigroups, Generators, and Resolvents.- Perturbation and Approximation of Semigroups.- Spectral Theory for Semigroups and Generators.- Asymptotics of Semigroups.- Semigroups Everywhere.- A Brief History of the Exponential Function.

4,348 citations

Journal ArticleDOI
TL;DR: In this paper, the mean first passage times and their dispersion in random walks from the origin to an arbitrary lattice point on a periodic space lattice with periodic boundary conditions have been derived by the method of Green's functions.
Abstract: Formulas are obtained for the mean first passage times (as well as their dispersion) in random walks from the origin to an arbitrary lattice point on a periodic space lattice with periodic boundary conditions. Generally this time is proportional to the number of lattice points.The number of distinct points visited after n steps on a k‐dimensional lattice (with k ≥ 3) when n is large is a1n + a2n½ + a3 + a4n−½ + …. The constants a1 − a4 have been obtained for walks on a simple cubic lattice when k = 3 and a1 and a2 are given for simple and face‐centered cubic lattices. Formulas have also been obtained for the number of points visited r times in n steps as well as the average number of times a given point has been visited.The probability F(c) that a walker on a one‐dimensional lattice returns to his starting point before being trapped on a lattice of trap concentration c is F(c) = 1 + [c/(1 − c)] log c.Most of the results in this paper have been derived by the method of Green's functions.

2,280 citations

Book
01 Jan 1994

2,169 citations

Book
31 May 2010
TL;DR: The Eulerian Functions The Bessel Functions The Error Functions The Exponential Integral Functions The Mittag-Leffler Functions The Wright Functions as mentioned in this paper The Eulerians Functions
Abstract: Essentials of Fractional Calculus Essentials of Linear Viscoelasticity Fractional Viscoelastic Media Waves in Linear Viscoelastic Media: Dispersion and Dissipation Waves in Linear Viscoelastic Media: Asymptotic Methods Pulse Evolution in Fractional Viscoelastic Media The Eulerian Functions The Bessel Functions The Error Functions The Exponential Integral Functions The Mittag-Leffler Functions The Wright Functions.

1,593 citations