Related papers: Fractional Gamma process and fractional Gamma-subo…
In this article, we present some specific aspects of symmetric Gamma process mixtures for use in regression models. We propose a new Gibbs sampler for simulating the posterior and we establish adaptive posterior rates of convergence related…
It is well-known that compositions of Markov processes with inverse subordinators are governed by integro-differential equations of generalized fractional type. This kind of processes are of wide interest in statistical physics as they are…
The fractional order grey models (FGM) have appealed considerable interest of research in recent years due to its higher effectiveness and flexibility than the conventional grey models and other prediction models. However, the definitions…
We study the non-stationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution…
In this article, we propose new proportional fractional operators generated from local proportional derivatives of a function with respect to another function. We present some properties of these fractional operators which can be also…
The process $(G_t)_{t\in[0,T]}$ is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of the fractional Brownian motion $(B^H_t)_{t\in[0,T ]}$ is a…
A new class of fractional-order stochastic evolution equations of the form $(\partial_t + A)^\gamma X(t) = \dot{W}^Q(t)$, $t\in[0,T]$, $\gamma \in (0,\infty)$, is introduced, where $-A$ generates a $C_0$-semigroup on a separable Hilbert…
This paper explicitly computes the transition densities of a spectrally negative stable process with index greater than one, reflected at its infimum. First we derive the forward equation using the theory of sun-dual semigroups. The…
When considering fractional diffusion equation as model equation in analyzing anomalous diffusion processes, some important parameters in the model, for example, the orders of the fractional derivative or the source term, are often unknown,…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
We introduce a non-homogeneous fractional Poisson process by replacing the time variable in the fractional Poisson process of renewal type with an appropriate function of time. We characterize the resulting process by deriving its non-local…
We establish properties of a new type of fractal which has partial self similarity at all scales. For any collection of iterated functions systems with an associated probability distribution and any positive integer V there is a…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics similar to Gaussian processes although they are not Gaussian.…
The degree by which a function can be differentiated need not be restricted to integer values. Usually most of the field equations of physics are taken to be second order, curiosity asks what happens if this is only approximately the case…
The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse $\alpha$-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional…
This contribution considers the time-fractional subdiffusion with a time-dependent variable-order fractional operator of order $\beta(t)$. It is assumed that $\beta(t)$ is a piecewise constant function with a finite number of jumps. A proof…
We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…
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.…
We generalize the fractional Caputo derivative to the fractional derivative ${{^CD}^{\alpha,\beta}_{\gamma}}$, which is a convex combination of the left Caputo fractional derivative of order $\alpha$ and the right Caputo fractional…