Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

Biased Continuous-Time Random Walks with Mittag-Leffler Jumps

Version 1 : Received: 1 October 2020 / Approved: 6 October 2020 / Online: 6 October 2020 (10:34:24 CEST)

How to cite: Michelitsch, T.M.; Polito, F.; Riascos, A.P. Biased Continuous-Time Random Walks with Mittag-Leffler Jumps. Preprints 2020, 2020100117 (doi: 10.20944/preprints202010.0117.v1). Michelitsch, T.M.; Polito, F.; Riascos, A.P. Biased Continuous-Time Random Walks with Mittag-Leffler Jumps. Preprints 2020, 2020100117 (doi: 10.20944/preprints202010.0117.v1).

Abstract

We construct admissible circulant Laplacian matrix functions as generators for strictly increasing random walks on the integer line. These Laplacian matrix functions refer to a certain class of Bernstein functions. The approach has connections with biased walks on digraphs. Within this framework, we introduce a space-time generalization of the Poisson process as a strictly increasing walk with discrete Mittag-Leffler jumps subordinated to a (continuous-time) fractional Poisson process. We call this process ‘space-time Mittag-Leffler process’. We derive explicit formulae for the state probabilities which solve a Cauchy problem with a Kolmogorov-Feller (forward) difference-differential equation of general fractional type. We analyze a “well-scaled” diffusion limit and obtain a Cauchy problem with a space-time convolution equation involving Mittag-Leffler densities. We deduce in this limit the ‘state density kernel’ solving this Cauchy problem. It turns out that the diffusion limit exhibits connections to Prabhakar general fractional calculus. We also analyze in this way a generalization of the space-time fractional Mittag-Leffler process. The approach of construction of good Laplacian generator functions has a large potential in applications of space-time generalizations of the Poisson process and in the field of continuous-time random walks on digraphs.

Subject Areas

Biased Continuous-time Random Walks, Bernstein matrix functions, Space-time fractional Poisson process, General fractional Calculus, Prabhakar fractional calculus

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