Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics

Luisa Beghin, Claudio Macci and Costantino Ricciuti

Stochastic Processes and their Applications, 2020, vol. 130, issue 10, 6364-6387

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 Rd-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.

Keywords: Random time-change; Multivariate Lévy processes; Subordinators; Anomalous diffusion; Continuous time random walks; Fractional operators (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2020.05.014

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