English

L\'evy processes linked to the lower-incomplete gamma function

Probability 2021-06-24 v1

Abstract

We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also considered in order to overcome the drawback of infinite moments. Then, we study L\'{e}vy processes time-changed by these subordinators, with particular attention to the Brownian case. An approximation of the fractional derivative (as well as of the fractional power of operators) arises from the analysis of governing equations. Finally, we show that time-changing the fractional Brownian motion gives a model of anomalous diffusion, which exhibits a sub-diffusive behavior.

Keywords

Cite

@article{arxiv.2106.12201,
  title  = {L\'evy processes linked to the lower-incomplete gamma function},
  author = {Luisa Beghin and Costantino Ricciuti},
  journal= {arXiv preprint arXiv:2106.12201},
  year   = {2021}
}

Comments

17 pages

R2 v1 2026-06-24T03:29:48.388Z