Reflected spectrally negative stable processes and their governing equations

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

  • Boris Baeumer - , University of Otago (Autor:in)
  • Mihály Kovács - , University of Otago (Autor:in)
  • Mark M. Meerschaert - , Michigan State University (Autor:in)
  • René L. Schilling - , Professur für Wahrscheinlichkeitstheorie (Autor:in)
  • Peter Straka - , University of New South Wales (Autor:in)

Abstract

This paper explicitly computes the transition densities of a spectrally negative stable process with index greater than one, reflected at its infimum. First we derive the forward equation using the theory of sun-dual semigroups. The resulting forward equation is a boundary value problem on the positive half-line that involves a negative Riemann-Liouville fractional derivative in space, and a fractional reflecting boundary condition at the origin. Then we apply numerical methods to explicitly compute the transition density of this space-inhomogeneous Markov process, for any starting point, to any desired degree of accuracy. Finally, we discuss an application to fractional Cauchy problems, which involve a positive Caputo fractional derivative in time.

Details

OriginalspracheEnglisch
Seiten (von - bis)227-248
Seitenumfang22
FachzeitschriftTransactions of the American Mathematical Society
Jahrgang368
Ausgabenummer1
PublikationsstatusVeröffentlicht - 20 Apr. 2015
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Cauchy problem, Fractional derivative, Markov process, Reflecting boundary condition, Stable process

Bibliotheksschlagworte