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Zapiski Nauchnykh Seminarov POMI, 2022, Volume 515, Pages 5–18
(Mi znsl7251)
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A probabilistic representation of the fractional differential operator
T. E. Abildaev Saint Petersburg State University
Abstract:
We consider a class of Lévy processes that includes symmetric $\alpha$-stable processes for $\alpha \in (1,2)$. We obtain a family of stochastic operators using these processes and study the family's properties. We show that constructed stochastic operators approximate the fractional differential operator of order $\alpha$ for the spectral parameter with non-positive real part.
Key words and phrases:
stochastic processes, Levy processes, stable processes, local time.
Received: 18.10.2022
Citation:
T. E. Abildaev, “A probabilistic representation of the fractional differential operator”, Probability and statistics. Part 33, Zap. Nauchn. Sem. POMI, 515, POMI, St. Petersburg, 2022, 5–18
Linking options:
https://www.mathnet.ru/eng/znsl7251 https://www.mathnet.ru/eng/znsl/v515/p5
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Statistics & downloads: |
Abstract page: | 60 | Full-text PDF : | 26 | References: | 19 |
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