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.
Beghin, L., Macci, C., Ricciuti, C. (2020). Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 130(10), 6364-6387 [10.1016/j.spa.2020.05.014].
Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
Macci, C;
2020-01-01
Abstract
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
