Variance Gamma (nonlocal) equations
Copyright policy )Variance Gamma (nonlocal) equations
Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case. The connection to special functions is in focus, and a space equation for the process is studied. In conclusion, the convergence in distribution of a compound Poisson process to the Variance Gamma process is observed.
- Roma Tre University Italy
- Sapienza University of Rome Italy
T57-57.97, Applied mathematics. Quantitative methods, Gamma subordinator, gamma subordinator, Fractional ordinary differential equations, fractional calculus, Variance Gamma process, fractional calculus, Gamma subordinator, nonlocal equations, Processes with independent increments; Lévy processes, variance gamma process, QA1-939, nonlocal equations, Variance Gamma process, Mathematics
T57-57.97, Applied mathematics. Quantitative methods, Gamma subordinator, gamma subordinator, Fractional ordinary differential equations, fractional calculus, Variance Gamma process, fractional calculus, Gamma subordinator, nonlocal equations, Processes with independent increments; Lévy processes, variance gamma process, QA1-939, nonlocal equations, Variance Gamma process, Mathematics
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