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

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  • Beghin, Luisa
  • Macci, Claudio
  • Ricciuti, Costantino

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.

Suggested Citation

  • Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:10:p:6364-6387
    DOI: 10.1016/j.spa.2020.05.014
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    References listed on IDEAS

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