Reflected spectrally negative stable processes and their governing equations

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Boris Baeumer - , University of Otago (Author)
  • Mihály Kovács - , University of Otago (Author)
  • Mark M. Meerschaert - , Michigan State University (Author)
  • René L. Schilling - , Chair of Probability Theory (Author)
  • Peter Straka - , University of New South Wales (Author)

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

Original languageEnglish
Pages (from-to)227-248
Number of pages22
JournalTransactions of the American Mathematical Society
Volume368
Issue number1
Publication statusPublished - 20 Apr 2015
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

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

Library keywords