English

Time-inhomogeneous jump processes and variable order operators

Probability 2016-03-10 v2

Abstract

In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L\'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are possibly different Bern\v{s}tein functions for each time tt. By means of these processes, a generalization of subordinate semigroups in the sense of Bochner is proposed. Because of time-inhomogeneity, two-parameter semigroups (propagators) arise and we provide a Phillips formula which leads to time dependent generators. The inverse processes are also investigated and the corresponding governing equations obtained in the form of generalized variable order fractional equations. An application to a generalized subordinate Brownian motion is also examined.

Keywords

Cite

@article{arxiv.1506.06893,
  title  = {Time-inhomogeneous jump processes and variable order operators},
  author = {Enzo Orsingher and Costantino Ricciuti and Bruno Toaldo},
  journal= {arXiv preprint arXiv:1506.06893},
  year   = {2016}
}

Comments

26 pages

R2 v1 2026-06-22T09:58:24.105Z