Related papers: Local times for multifractional square Gaussian pr…

The splitting of the tangent bundle of space-time into temporal and spatial sub-bundles defines an almost-product structure. In particular, any space-time metric can be locally expressed in time-orthogonal form, in such a way that whether…

The subject of this paper is to prove a functional weak invariance principle for the local time of a process generated by a Gibbs-Markov map. More precisely, let $\left(X,\mathcal{B},m,T,\alpha\right)$ is a mixing, probability preserving…

In this paper we generalize the martingale of Kella and Whitt to the setting of L\'{e}vy-type processes and show that the (local) martingales obtained are in fact square integrable martingales which upon dividing by the time index converge…

The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a setting which occurs often in applications in optimal…

The non-local problem is considered for the partial differential equation of mixed-type with Bessel operator and fractional order. An explicit solution is represented by Fourier-Bessel series in the given domain. It is established the…

In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If…

In this paper we want to propose practical numerical methods to solve a class of initial-boundary problem of time-space fractional convection-diffusion equations (TSFCDEs). To start with, an implicit difference method based on two-sided…

Let $X=\{X(t),t\in R_+\}$ be a real-valued symmetric L\'{e}vy process with continuous local times $\{L^x_t,(t,x)\in R_+\times R\}$ and characteristic function $Ee^{i\lambda X(t)}=e^{-t\psi(\lambda)}$. Let…

In this work we study the solutions to some fractional higher-order equations. Special cases in which time-fractional derivatives take integer values are also examined and the explicit solutions are presented. Such solutions can be…

We consider fractional relaxation and fractional oscillation equations involving Erdelyi-Kober integrals. In terms of Riemann-Liouville integrals, the equations we analyze can be understood as equations with time-varying coefficients.…

We prove a.e. convergence of continuous-time quadratic averages with respect to two commuting $\mathbb{R}$-actions, coming from a single jointly measurable measure-preserving $\mathbb{R}^2$-action on a probability space. The key ingredient…

We compute in a relativistic way the time-of-arrival and the traversal time through a region of a free particle with spin 1/2. We do this by applying the relativistic extension of the Event-Enhanced Quantum Theory which we have presented in…

We prove the It\^o-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the It\^o-Wentzell formula for real-valued processes, appropriate versions of which are also…

A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a…

In the paper we consider models of generalized counting processes time-changed by a general inverse subordinator, we characterize their distributions and present governing equations for them. The equations are given in terms of the…

We study the local times of a large class of Gaussian random fields satisfying strong local nondeterminism with respect to an anisotropic metric. We establish moment estimates and H\"{o}lder conditions for the local times of the Gaussian…

Using an integral definition to calculate the relativistic multipole moments (RMM), and the ensuing generalized relativistic Gauss theorem, we prove that the evaluation of that volume integral in Erez-Rosen coordinates, leads to a specific…

We show that ergodic flows in noncommutative fully symmetric spaces (associated with a semifinite von Neumann algebra) generated by continuous semigroups of positive Dunford-Schwartz operators and modulated by bounded Besicovitch almost…

In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion with Hurst parameter H in (0,1) and continuous drift function.…

We study a class of R^d-valued continuous strong Markov processes that are generated, only locally, by an ultra-parabolic operator with coefficients that are regular w.r.t. the intrinsic geometry induced by the operator itself and not…