Related papers: Intertwining certain fractional derivatives
Supersymmetrical intertwining relations of second order in the derivatives are investigated for the case of supercharges with deformed hyperbolic metric $g_{ik}=diag(1,-a^2)$. Several classes of particular solutions of these relations are…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
We consider the indefinite Sturm-Liouville differential expression \[\mathfrak{a}(f) := - \frac{1}{w}\left( \frac{1}{r} f' \right)',\] where $\mathfrak{a}$ is defined on a finite or infinite open interval $I$ with $0\in I$ and the…
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of…
In this article we study a class of stochastic functional differential equations driven by L\'{e}vy processes (in particular, $\alpha$-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals.…
In this paper, we introduce a delayed Mittag-Leffler type function. With the help of the delayed Mittag-Leffler type functions, we give an explicit formula of solutions to linear nonhomogeneous fractional time-delay Langevin equations…
We complement and extend our work on fluctuation relations arising in nonequilibrium systems in steady states driven by L\'evy noise [Phys. Rev. E 76, 020101(R) (2006)]. As a concrete example, we consider a particle subjected to a drag…
New solutions for second-order intertwining relations in two-dimensional SUSY QM are found via the repeated use of the first order supersymmetrical transformations with intermediate constant unitary rotation. Potentials obtained by this…
Initialization of fractional differential equations remains an ongoing problem. In recent years, the initialization function approach and the infinite state approach provide two effective ways to deal with this problem. The purpose of this…
We show that the generating function corresponding to the sequence of denominators of the best rational approximants of a quadratic irrational is a rational function with integer coefficients. Consequently we can compute the L\'evy constant…
We introduce and present the general solution of three two-term fractional differential equations of mixed Caputo/Riemann Liouville type. We then solve a Dirichlet type Sturm-Liouville eigenvalue problem for a fractional differential…
It is proved that given $-1/2<s<1/2$, for any $f\in L^2(\mathbb{R})$, there is a unique $u\in \widehat{H}^{|s|}(\mathbb{R})$ such that $$ f=\boldsymbol{D}^{-s}u+\boldsymbol{D}^{s*}u\,, $$ where $\boldsymbol{D}^{-s}, \boldsymbol{D}^{s*}$ are…
Two fractional two-phase Stefan-like problems are considered by using Riemann-Liouville and Caputo derivatives of order $\alpha \in (0, 1)$ verifying that they coincide with the same classical Stefan problem at the limit case when…
We present a new approach to fluctuation identities for reflected L\'{e}vy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or It\^{o} calculus. It…
We provide additional results in connection with Krein's formula, which describes the resolvent difference of two self-adjoint extensions A_1 and A_2 of a densely defined closed symmetric linear operator A with (possibly infinite) equal…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
In this work, we propose an efficient finite element method for solving fractional Sturm-Liouville problems involving either the Caputo or Riemann-Liouville derivative of order $\alpha\in(1,2)$ on the unit interval $(0,1)$. It is based on…
In this paper, we propose a conjectural formula for the order of the poles of intertwining operators in the context of the representation theory of general linear groups over $p$-adic fields. More specifically, we conjecturally relate the…
We first introduce and derive some basic properties of a two-parameters family of one-sided Levy processes. Their Laplace exponents are given in terms of the Pochhammer symbol. This family includes, in a limit case, the family of Brownian…
A powerful tool for studying long-term convergence of a Markov process to its stationary distribution is a Lyapunov function. In some sense, this is a substitute for eigenfunctions. For a stochastically ordered Markov process on the…