Reflected spectrally negative stable processes and their governing equations
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
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
Originalsprache | Englisch |
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Seiten (von - bis) | 227-248 |
Seitenumfang | 22 |
Fachzeitschrift | Transactions of the American Mathematical Society |
Jahrgang | 368 |
Ausgabenummer | 1 |
Publikationsstatus | Veröffentlicht - 20 Apr. 2015 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Cauchy problem, Fractional derivative, Markov process, Reflecting boundary condition, Stable process