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Register a new userRandom time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
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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 $mathbb{R}^d$-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.
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In this paper we investigate the long time behavior of solutions to fractional in time evolution equations which appear as results of random time changes in Markov processes. We consider inverse subordinators as random times and use the subordination principle for the solutions to forward Kolmogorov equations. The class of subordinators for which asymptotic analysis may be realized is described.
We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable $(Y/2)$ subordinator while the Meixner time change is absolutely continuous with respect to the one sided stable $(1/2)$ subordinator$.$ The required time changes may be generated by simulating the requisite one-sided stable subordinator and throwing away some of the jumps as described in Rosinski (2001).
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