Regularity and asymptotics of densities of inverse subordinators
From MaRDI portal
Publication:6658777
DOI10.1112/tlm3.70004MaRDI QIDQ6658777
Bruno Toaldo, Mladen Svetoslavov Savov, Giacomo Ascione
Publication date: 8 January 2025
Published in: Transactions of the London Mathematical Society (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Asymptotic behaviour of first passage time distributions for Lévy processes
- Semi-Markov approach to continuous time random walk limit processes
- New families of subordinators with explicit transition probability semigroup
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- (Non)Differentiability and asymptotics for potential densities of subordinators
- Inverse tempered stable subordinators
- Asymptotic behaviour of first passage time distributions for subordinators
- Triangular array limits for continuous time random walks
- Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
- Small-time expansions for the transition distributions of Lévy processes
- Regenerative systems on the real line
- Abel integral equations. Analysis and applications
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Bernstein-gamma functions and exponential functionals of Lévy processes
- Time fractional equations and probabilistic representation
- A fractional kinetic process describing the intermediate time behaviour of cellular flows
- Heat kernel estimates for time fractional equations
- Lower tail probability estimates for subordinators and nondecreasing random walks
- Limit theorems for coupled continuous time random walks.
- Time fractional Poisson equations: representations and estimates
- Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation
- Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders
- Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
- Fluctuations of Lévy processes with applications. Introductory lectures
- Heat kernel asymptotics of the subordinator and subordinate Brownian motion
- Error bounds for the Laplace approximation for definite integrals
- On the exit time from open sets of some semi-Markov processes
- Large-time and small-time behaviors of the spectral heat content for time-changed stable processes
- Fokker–Planck and Kolmogorov backward equations for continuous time random walk scaling limits
- Intrinsic small time estimates for distribution densities of Lévy processes
- Ultrafast subordinators and their hitting times
- Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
- Volatility Targeting Using Delayed Diffusions
- Beyond the Triangle
- Limit theorems for continuous-time random walks with infinite mean waiting times
- Limit theorems for prices of options written on semi-Markov processes
- Spectral expansions of non-self-adjoint generalized Laguerre semigroups
- Random time change and related evolution equations. Time asymptotic behavior
- Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure
- Inverse Stable Subordinators
- Lower functions for increasing random walks and subordinators
- Why Steepest Descents?
- Stochastic models for fractional calculus
- Bernstein functions. Theory and applications
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- On the inverse gamma subordinator
- Non‐classical Tauberian and Abelian type criteria for the moment problem
- From semi-Markov random evolutions to scattering transport and superdiffusion
- Spectral heat content for time-changed killed Brownian motions
- Asymptotics for densities of exponential functionals of subordinators
This page was built for publication: Regularity and asymptotics of densities of inverse subordinators