Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Beghin, Luisa¹  Macci, Claudio²  Ricciuti, Costantino¹ 

[1] Univ Roma Sapienza, Dipartimento Sci Stat, Piazzale Aldo Moro 5, I-00185 Rome, Italy

[2] Univ Roma Tor Vergata, Dipartimento Matemat, Viale Ric Sci 1, I-00133 Rome, Italy

关键词: Random time-change;    Multivariate Levy processes;    Subordinators;    Anomalous diffusion;    Continuous time random walks;    Fractional operators;   

DOI  :  10.1016/j.spa.2020.05.014

来源: Elsevier

【 摘 要 】

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 connected to anomalous diffusions. In this paper we consider a generalization; more precisely we mean componentwise compositions of R-d-valued Markov processes with the components of an independent multivariate inverse subordinator. As a possible application, we present a model of anomalous diffusion in anisotropic medium, which is obtained as a weak limit of suitable continuous-time random walks. (C) 2020 Elsevier B.Y. All rights reserved.

【 授权许可】

Free