Pseudo-differential operators and related additive geometric stable processes

2017/08/10 by Beghin, Luisa, Ricciuti, Costantino
#26A33 #60G51 #60G52 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1708.03159

Abstract

Additive processes are obtained from Lévy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define an infinitesimal generator, which is, of course, a time-dependent operator. Additive versions of stable and Gamma processes have been considered in the literature. We introduce here time-inhomogeneous generalizations of the well-known geometric stable process, defined by means of time-dependent versions of fractional pseudo-differential operators of logarithmic type. The local Lévy measures are expressed in terms of Mittag-Leffler functions or H-functions with time-dependent parameters.

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