scholarly journals A Subordination Principle on Wright Functions and Regularized Resolvent Families

2015 ◽  
Vol 2015 ◽  
pp. 1-9 ◽  
Author(s):  
Luciano Abadias ◽  
Pedro J. Miana

We obtain a vector-valued subordination principle forgα,gβ-regularized resolvent families which unified and improves various previous results in the literature. As a consequence, we establish new relations between solutions of different fractional Cauchy problems. To do that, we consider scaled Wright functions which are related to Mittag-Leffler functions, the fractional calculus, and stable Lévy processes. We study some interesting properties of these functions such as subordination (in the sense of Bochner), convolution properties, and their Laplace transforms. Finally we present some examples where we apply these results.

Author(s):  
Wolfgang Arendt ◽  
Charles J.K. Batty ◽  
Matthias Hieber ◽  
Frank Neubrander

Author(s):  
Wolfgang Arendt ◽  
Charles J. K. Batty ◽  
Matthias Hieber ◽  
Frank Neubrander

2013 ◽  
Vol 50 (4) ◽  
pp. 983-1005 ◽  
Author(s):  
Holger Fink

Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a multivariate componentwise Molchan-Golosov transformation based on an n-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions, we are able to calculate the conditional characteristic function of integrals driven by MG-FLPs. This leads to important predictions concerning multivariate fractional Brownian motion, fractional subordinators, and general fractional stochastic differential equations. Examples are the fractional Lévy Ornstein-Uhlenbeck and Cox-Ingersoll-Ross models. As an application we present a fractional credit model with a long range dependent hazard rate and calculate bond prices.


2013 ◽  
Vol 50 (04) ◽  
pp. 983-1005
Author(s):  
Holger Fink

Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a multivariate componentwise Molchan-Golosov transformation based on ann-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions, we are able to calculate the conditional characteristic function of integrals driven by MG-FLPs. This leads to important predictions concerning multivariate fractional Brownian motion, fractional subordinators, and general fractional stochastic differential equations. Examples are the fractional Lévy Ornstein-Uhlenbeck and Cox-Ingersoll-Ross models. As an application we present a fractional credit model with a long range dependent hazard rate and calculate bond prices.


2019 ◽  
Vol 56 (2) ◽  
pp. 441-457 ◽  
Author(s):  
Bo Li ◽  
Nhat Linh Vu ◽  
Xiaowen Zhou

AbstractFor spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find expressions of the Laplace transforms for the two-sided exit problems involving the draw-down time. We also find the Laplace transforms for the hitting time and creeping time over the running-maximum related draw-down level, respectively, and obtain an expression for a draw-down associated potential measure. The results are expressed in terms of scale functions for the spectrally negative Lévy processes.


2017 ◽  
Vol 54 (2) ◽  
pp. 474-489 ◽  
Author(s):  
Yingqiu Li ◽  
Chuancun Yin ◽  
Xiaowen Zhou

Abstract Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.


Sign in / Sign up

Export Citation Format

Share Document