相关论文: Mellin transform and subordination laws in fractio…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
A class of Laplace transforms is examined to show that particular cases of this class are associated with production-destruction and reaction-diffusion problems in physics, study of differences of independently distributed random variables…
The fundamental solution of the fractional diffusion equation of distributed order in time (usually adopted for modelling sub-diffusion processes) is obtained based on its Mellin-Barnes integral representation. Such solution is proved to be…
An interesting line of research is the investigation of the laws of random variables known as Dirichlet means. However, there is not much information on interrelationships between different Dirichlet means. Here, we introduce two…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic…
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…
In contrast to normal diffusion, there is no canonical model for reactions between chemical species which move by anomalous subdiffusion. Indeed, the type of mesoscopic equation describing reaction-subdiffusion depends on subtle assumptions…
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 consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
In this article, the infinite series form of the probability densities of tempered stable and inverse tempered stable subordinators are obtained using Mellin transform. Further, the densities of the products and quotients of stable and…
The fractional Poisson process and the Wright process (as discretization of the stable subordinator) along with their diffusion limits play eminent roles in theory and simulation of fractional diffusion processes. Here we have analyzed…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These…
In this paper, we prove a result of equivalence in law between a diffusion conditioned with respect to partial observations and an auxiliary process. By partial observations we mean coordinates (or linear transformation) of the process at a…
We study different fractional extensions of the Poisson process and generalized counting processes by introducing time-change represented by the inverse to the sums of stable and tempered stable subordinators. We state the governing…
Continuous time random walks and Langevin equations are two classes of stochastic models for describing the dynamics of particles in the natural world. While some of the processes can be conveniently characterized by both of them, more…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
We study diffusion processes in anomalous spacetimes regarded as models of quantum geometry. Several types of diffusion equation and their solutions are presented and the associated stochastic processes are identified. These results are…
We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and…