Stochastic models with mixtures of tempered stable subordinators

Gupta, Neha, Kumar, Arun and Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 2021. Stochastic models with mixtures of tempered stable subordinators. Mathematical Communications 26 (1) , pp. 77-99.

Preview

PDF - Published Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (543kB) | Preview

Abstract

In this article, we introduce mixtures of tempered stable subordinators (TSS). These mixtures define a class of subordinators which generalize tempered stable subordinators. The main properties like probability density function (pdf), L´evy density, moments, governing Fokker-Planck-Kolmogorov (FPK) type equations, asymptotic form of potential density and asymptotic form of the renewal function for the corresponding inverse subordinator are discussed. We generalize these results to n-th order mixtures of TSS. The governing fractional difference and differential equations of time-changed Poisson process and Brownian motion are also discussed.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Mathematics
Publisher:	University of Osijek
ISSN:	1331-0623
Date of First Compliant Deposit:	14 January 2021
Date of Acceptance:	28 December 2020
Last Modified:	05 May 2023 10:05
URI:	https://orca.cardiff.ac.uk/id/eprint/137669

Citation Data

Cited 5 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item