Fractional Gamma and Gamma-Subordinated Processes

We introduce and study fractional generalizations of the well-known Gamma process, in the following sense: the corresponding densities are proved to satisfy the same differential equation as the usual Gamma process, but with the shift operator replaced by its fractional version of order ν > 0. In the case ν > 1, the solution corresponds to the density of a Gamma process time-changed by an independent stable subordinator of index 1/ν. For ν less than one an analogous result holds, with the subordinator replaced by the inverse. In this case the fractional Gamma process is proved to be a non-stationary version of the standard one, with power law behavior of the expected value. Hence it can be considered a useful tool in modelling stochastic deterioration in the non-linear cases, a situation which often occurs in real data (see i.e., [42 Van Noortwijk, J.M., 2009. A survey of the application of Gamma processes in maintenance. Reliability Engineering System Safety 94: 2–21.[Crossref], [Web of Science ®] , [Google Scholar]] and the references therein).

As a consequence of the previous results, the fractional generalizations of some Gamma subordinated processes (i.e. the Variance Gamma, the Geometric Stable and the Negative Binomial) are introduced and the corresponding fractional differential equations are obtained. These processes are particularly relevant for a wide range of financial and technological applications.     

Fractional calculus with an integral operator containing a generalized Mittag-Leffler function in the kernel

In this paper, we introduce and investigate a fractional calculus with an integral operator which contains the following family of generalized Mittag-Leffler functions: