Related papers: Fractional processes: from Poisson to branching on…
We study a Monte Carlo algorithm for simulation of probability distributions based on stochastic step functions, and compare to the traditional Metropolis/Hastings method. Unlike the latter, the step function algorithm can produce an…
In this paper, we introduce two new matrix stochastic processes: fractional Wishart processes and $\varepsilon$-fractional Wishart processes with integer indices which are based on the fractional Brownian motions and then extend…
We apply the subordination principle to construct kinetic fractional statistical dynamics in the continuum in terms of solutions to Vlasov-type hierarchies. As a by-product we obtain the evolution of the density of particles in the…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
The following document presents some novel numerical methods valid for one and several variables, which using the fractional derivative, allow to find solutions for some non-linear systems in the complex space using real initial conditions.…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
In the present paper fractional Hamilton-Jacobi equation has been derived for dynamical systems involving Caputo derivative. Fractional Poisson-bracket is introduced. Further Hamilton's canonical equations are formulated and quantum wave…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
We generalize the generalized-squeezing problem to include fractional values of the squeezing order $n$. This approach allows us to determine the locations of critical points at which qualitative changes in behaviour occur and accurately…
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a…
We introduce and study here a renewal process defined by means of a time-fractional relaxation equation with derivative order $\alpha(t)$ varying with time $t\geq0$. In particular, we use the operator introduced by Scarpi in the Seventies…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work,…
The general theory of the branching processes is used for establishing the relation between the parameters $k$ and $\bar n$ of the negative binomial distribution. This relation gives the possibility to describe the overall data on…
We introduce a fractional Bessel process with constant negative drift, defined as a time-changed Bessel process via the inverse of a stable subordinator, independent of the base process. This construction yields a model capable of capturing…
We prove some invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of the fractional L\'evy…
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…
Fractional calculus has been used to describe physical systems with complexity. Here, we show that a fractional calculus approach can restore or include complexity in any physical systems that can be described by partial differential…
Piecewise Deterministic Monte Carlo algorithms enable simulation from a posterior distribution, whilst only needing to access a sub-sample of data at each iteration. We show how they can be implemented in settings where the parameters live…