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Stochastic models with mixtures of tempered stable subordinators

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

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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: 05 May 2023 10:05

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