Stable distributions and pseudo-processes related to fractional Airy functions

Abstract

In this article, we study pseudo-processes related to odd-order heat-type equations composed with Lévy stable subordinators. The aim of the article is twofold. We first show that the pseudo-density of the subordinated pseudo-process can be represented as an expectation of damped oscillations with generalized gamma distributed parameters. This stochastic representation also arises as the solution to a fractional diffusion equation, involving a higher-order Riesz-Feller operator, which generalizes the odd-order heat-type equation. We then prove that, if the stable subordinator has a suitable exponent, the time-changed pseudo-process is identical in distribution to a genuine Lévy stable process. This result permits us to obtain a power series representation for the probability density function of an arbitrary asymmetric stable process of exponent ν > 1 and skewness parameter β, with $0<|\beta |<1$. The methods we use in order to carry out our analysis are based on the study of a fractional Airy function which emerges in the investigation of the higher-order Riesz-Feller operator.

Keywords:

• Pseudo-processes
• higher-order heat equation
• stable processes
• fractional Airy function
• Riesz-Feller derivative

Disclosure statement

No potential conflict of interest was reported by the author(s).