Related papers: Fonctions de Mittag-Leffler et processus de L\'evy…

Pollard used contour integration to show that the Mittag-Leffler function is the Laplace transform of a positive function, thereby proving that it is completely monotone. He also cited personal communication by Feller of a discovery of the…

We analyse some peculiar properties of the function of the Mittag-Leffler (M-L) type, $e_\alpha(t):= E_\alpha(-t^\alpha)$ for $0 <\alpha < 1$ and $t > 0$, which is known to be completely monotone (CM) with a non negative spectrum of…

We consider two operations on the Mittag-Leffler function which cancel the exponential term in the expansion at infinity, and generate a completely monotonic function. The first one is the action of a certain differential-difference…

In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…

We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely…

Using the Bernstein theorem we give a simple proof of the complete monotonicity of the three parameter generalized Mittag-Leffler function $E_{\alpha, \beta}^{\gamma}(-x)$ for $x \geq 0$ and suitably adjusted parameters $\alpha$, $\beta$…

This paper uses convolutions of the gamma density and the one-sided stable density to construct higher level densities. The approach is applied to constructing a 4-parameter Mittag-Leffler density, whose Laplace transform is a corresponding…

An identity in law for the area of a spectrally positive L\'evy stable process stopped at zero is established. Extending that of Lefebvre for Brownian motion, it involves an inverse Beta random variable and the square of a positive stable…

The monotonicity of the Mittag-Leffler function $E_{\alpha}$ with respect to the parameter $\alpha$ is investigated, via some convex ordering properties for related random variables. In particular, it is shown that the mapping…

In this paper, we introduce the Levy density function as the limit of a generalized Mittag-Leffler density function. The fractional integral equation for the generalized Mittag-Leffler density function is also given. And the role of the…

We study the density of the supremum of a strictly stable L\'evy process. As was proved recently in F. Hubalek and A. Kuznetsov "A convergent series representation for the density of the supremum of a stable process" (Elect. Comm. in…

We generalize the Mittag-Leffler function by attaching an exponent to its Taylor coefficients. The main result is an asymptotic formula valid in sectors of the complex plane, which extends work by Le Roy [Bull. des sciences math. 24, 1900]…

It is shown that a Mittag-Leffler density has interesting properties. The Mittag-Leffler random variable has a structural representation in terms of a positive Levy variable and the power of a gamma variable where these two variables are…

In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise,…

The paper by R. Garrappa, S. Rogosin, and F. Mainardi, entitled {\em On a generalized three-parameter Wright function of the Le Roy type} and published in [Fract. Calc. Appl. Anal. {\bf 20} (2017) 1196-1215], ends up leaving the open…

We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents and cumulants are calculated, as well as spectral densities.…

We consider here the recently proposed closed form formula in terms of the Meijer G-functions for the probability density functions $g_\alpha(x)$ of one-sided L\'evy stable distributions with rational index $\alpha=l/k$, with $0<\alpha<1$.…

The main contribution of this paper is the use of probability theory to prove that the three-parameter Mittag-Leffler function is the Laplace transform of a distribution and thus completely monotone. Pollard used contour integration to…

We revisit the Mittag-Leffler functions of a real variable $t$, with one, two and three order-parameters $\{\alpha, \beta, \gamma\}$, as far as their Laplace transform pairs and complete monotonicty properties are concerned. These…

In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…