Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Stochastic models with mixtures of tempered stable subordinators

Gupta, Neha, Kumar, Arun and Leonenko, Nikolai 2021. Stochastic models with mixtures of tempered stable subordinators. Mathematical Communications 26 (1) , pp. 77-99.

[img]
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: Mathematics
Publisher: University of Osijek
ISSN: 1331-0623
Date of First Compliant Deposit: 14 January 2021
Date of Acceptance: 28 December 2020
Last Modified: 03 Sep 2021 11:15
URI: http://orca.cardiff.ac.uk/id/eprint/137669

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics