English

Some families of random fields related to multiparameter L\'evy processes

Probability 2023-05-31 v3

Abstract

Let R+N=[0,)N\mathbb{R}^N_+= [0,\infty)^N. We here consider a class of random fields (Xt)tR+N(X_t)_{t\in \mathbb{R}^N_+} which are known as Multiparameter L\'evy processes. Related multiparameter semigroups of operators and their generators are represented as pseudo-differential operators. We also consider the composition of (Xt)tR+N(X_t)_{t\in \mathbb{R}^N_+} by means of the so-called subordinator fields and we provide a Phillips formula. We finally study the composition of (Xt)tR+N(X_t)_{t\in \mathbb{R}^N_+} by means of the so-called inverse random fields, which gives rise to interesting long range dependence properties. As a byproduct of our analysis, we study a model of anomalous diffusion in an anisotropic medium which extends the one treated in [8].

Keywords

Cite

@article{arxiv.2211.00346,
  title  = {Some families of random fields related to multiparameter L\'evy processes},
  author = {Francesco Iafrate and Costantino Ricciuti},
  journal= {arXiv preprint arXiv:2211.00346},
  year   = {2023}
}