Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution

DOI10.1007/s10955-019-02279-3zbMath1488.60090arXiv1811.07158OpenAlexW3098900797MaRDI QIDQ2315144

Ronnie Loeffen, Pierre Patie, Mladen Svetoslavov Savov

Publication date: 1 August 2019

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07158

zbMATH Keywords

Mellin transformfirst passage timesself-similar processesFréchet distributionBernstein functionsBernstein-gamma functions

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Self-similar stochastic processes (60G18) Special functions in characteristic (p) (gamma functions, etc.) (33E50)

Related Items (6)

First passage times over stochastic boundaries for subdiffusive processes ⋮ On the exit time from open sets of some semi-Markov processes ⋮ Risk‐neutral pricing techniques and examples ⋮ From semi-Markov random evolutions to scattering transport and superdiffusion ⋮ Turán inequalities and complete monotonicity for a class of entire functions ⋮ Self-similar Cauchy problems and generalized Mittag-Leffler functions

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