Related papers: Subordination principle and Feynman-Kac formulae f…
In this paper, we consider the backward problem for fractional in time evolution equations $\partial_t^\alpha u(t)= A u(t)$ with the Caputo derivative of order $0<\alpha \le 1$, where $A$ is a self-adjoint and bounded above operator on a…
It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a…
In the framework of stochastic functional differential equations (SFDE's) and the corresponding calculus developed in the recent years by F. Yan and S. Mohammed, we provide a series of representation formulae for a variety of highly…
The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…
In this article, we show that a general class of weakly stationary time series can be modeled applying Gaussian subordinated processes. We show that, for any given weakly stationary time series $(z_t)_{z\in\mathbb{N}}$ with given equal…
In this paper, we consider a type of time-changed Markov process, where the time-change is an inverse killed subordinator. This can be seen as an extension of Chen (Chen, Z., Time fractional equations and probabilistic representation, Chaos…
Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these…
We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this approach to construct a generalized Gaussian process under a…
We investigate the fractional time description of a generalized quantum light-matter system modeled by a time-dependent Jaynes-Cummings (JC) interaction, with different coupling types: constant, linear, exponential, and sinusoidal. Two…
In the realm of complexity, it is argued that adequate modeling of TeV-physics demands an approach based on fractal operators and fractional calculus (FC). Non-local theories and memory effects are connected to complexity and the FC. The…
Continuous-time random walk (CTRW) is a model of anomalous sub-diffusion in which particles are immobilized for random times between successive jumps. A power-law distribution of the waiting times, $\psi(\tau) \tau^{-(1+\alpha)}$, leads to…
Variational principles are proved for self-adjoint operator functions arising from variational evolution equations of the form \[ \langle\ddot{z}(t),y \rangle + \mathfrak{d}[\dot{z} (t), y] + \mathfrak{a}_0 [z(t),y] = 0. \] Here…
Fractional diffusion and Fokker-Planck equations are widely used tools to describe anomalous diffusion in a large variety of complex systems. The equivalent formulations in terms of Caputo or Riemann-Liouville fractional derivatives can be…
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…
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 propose a probabilistic construction for the solution of a general class of fractional high order heat-type equations in the one-dimensional case, by using a sequence of random walks in the complex plane with a suitable scaling. A time…
Subordinating a multivariate L\'evy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new L\'evy process, provided the subordinator and the subordinate are independent processes. The…
In this paper, we introduce and study two time-changed variants of the generalized fractional Skellam process. These are obtained by time-changing the generalized fractional Skellam process with an independent L\'evy subordinator with…
Probabilistic solutions of the so called Schr\"{o}dinger boundary data problem provide for a unique Markovian interpolation between any two strictly positive probability densities designed to form the input-output statistics data for the…