arXiv subjects

Bruno Toaldo

Publications and source records attributed to Bruno Toaldo.

At least 19 recordsLinked to original sources

arXiv2026

Modelling Anomalous Diffusion: The Role of CTRWs and Non-Local Dynamics

These notes provide a self-consistent summary of the stochastic approach to anomalous diffusion based on Continuous Time Random Walks (CTRWs) and their scaling limits. An introduction to CTRWs and their relationship to the theory of semi-Markov processes is provided. A general technique to study scaling limits of CTRWs is then described, and the semi-Markov property of the limiting processes is discussed. With this at hand, the connection of limit processes with non-local (fractional-type) equations is introduced, and the most recent (and general) contributions, going far beyond fractional equations, are also described. Indeed, the theory presented here includes very general non-local evolution equations as abstract Cauchy problems as well as pointwise non-local fractional diffusion equations in bounded domains.

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arXiv2025

Continuous Branching Processes with Settlement in Cancer Metastasis: Stochastic Modelling and the Feller Property

Motivated by models of cancer metastasis, this paper introduces a type of (multi-type) branching process that records the positions of particles, representing tumor cells or clusters. Particles may be absorbed (removed from the state space), move, or settle. The process is rigorously constructed, and the Markov property is established via embedding into a multidimensional process that tracks the labels, positions, and phases (moving or resting) of living particles. The Feller property for the associated semigroup is investigated. It is proved for a simplified model that tracks the number of particles in each class, and an explicit generator is derived, enabling Feynman-Kac-type formulas in this framework.

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arXiv2025

Random Flights and Anomalous Diffusion: A Non-Markovian Take on Lorentz Processes

We study Lorentz processes in two different settings. Both cases are characterized by infinite expectation of the free-flight times, contrary to what happens in the classical Gallavotti-Spohn models. Under a suitable Boltzmann-Grad type scaling limit, they converge to non-Markovian random-flight processes with superdiffusive behavior. A further scaling limit yields another non Markovian process, i.e., a superdiffusion obtained by a suitable time-change of Brownian motion. Furthermore, we obtain the governing equations for our random flights and anomalous diffusion, which represent a non-local counterpart for the linear-Boltzmann and diffusion equations arising in the classical theory. It turns out that these equations have the form of fractional kinetic equations in both time and space. To prove these results, we develop a technique based on mixtures of Feller semigroups.

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arXiv2025

Harmonic problems arising from continuous time random walks limit processes

In this paper, we develop a universal method that identifies the (non-local) governing evolution equations for Continuous Time Random Walks' (CTRWs) limit processes. Given one of these processes, our method provides the form of a non-local operator, acting on space and time variables jointly, such that the (generalized) harmonic problem associated with it represents an evolution governing equation for this process. Then, the well-posedness of this problem must be established case by case. In this paper, we establish well-posedness when the process is a Feller process (on a general Polish space $E$) time-changed with the overshooting of a subordinator. Also, we will show how our method applies to several cases when the equation and its well-posedness are already known, hence unifying several different approaches in the literature.

math.PR↗

arXiv2024

Sampling inverse subordinators and subdiffusions

In this paper, a method to exactly sample the trajectories of inverse subordinators (in the sense of the finite-dimensional distributions), jointly with the undershooting or overshooting process, is provided. The method applies to general strictly increasing subordinators. The (random) running times of these algorithms have finite moments and explicit bounds for the expectations are provided. Additionally, the Monte Carlo approximation of functionals of subdiffusive processes (in the form of time-changed Feller processes) is considered where a central limit theorem and the Berry-Esseen bounds are proved. The approximation of time-changed It\^o diffusions is also studied. The strong error, as a function of the time step, is explicitly evaluated demonstrating the strong convergence, and the algorithm's complexity is provided. The Monte Carlo approximation of functionals and its properties for the approximate method is studied as well. An application of our algorithms in the context of weak ergodicity breaking of subdiffusion is also discussed.

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arXiv2024

Time-changed Markov processes and space-time coupled non-local equations

In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of the solution. A maximum principle is proved and used to derive uniqueness. Existence is established by providing a stochastic representation based on anomalous processes constructed as a time change via the undershooting of an independent subordinator. This leads to general non-stepped processes with intervals of constancy representing a sticky or trapping effect. Our theory allows these intervals to be dependent on the immediately subsequent jump. These processes include scaling limit of suitable coupled continuous time random walks previously studied in applications, in particular in the context of anomalous diffusion and option pricing. Here we exploit our general theory to obtain a non-local analog of the Black and Scholes equation, addressing the problem of determining the seasoned price of a derivative security, in case the price fluctuations are described by a process whose jumps are dependent on the previous interval.

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arXiv2024

Para-Markov chains and related non-local equations

There is a well established theory that links semi-Markov chains having Mittag-Leffler waiting times to time-fractional equations. We here go beyond the semi-Markov setting, by defining some non-Markovian chains whose waiting times, although marginally Mittag-Leffler, are assumed to be stochastically dependent. This creates a long memory tail in the evolution, unlike what happens for semi-Markov processes. As a special case of our chains, we study a particular counting process which extends the well-known fractional Poisson process, the last one having independent, Mittag-Leffler waiting times.

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arXiv2023

Regularity and asymptotics of densities of inverse subordinators

In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, using a useful modification of the saddle point method, we obtain the large asymptotic behaviour of these densities (and their derivatives) for a specific region of space and time and quantify how the ratio between time and space affects the explicit speed of convergence. The asymptotics is governed by an exponential term depending on the Laplace exponent of the subordinator and the region represents the behaviour of the subordinator when it is atypically small (the inverse one is larger than usual). As a result a route to the derivation of novel general or particular fine estimates for densities with explicit constants in the speed of convergence in the region of the lower envelope/the law of iterated logarithm is available. Furthermore, under mild conditions, we provide a power series representation for densities (and their derivatives) of subordinators and inverse subordinators. This representation is explicit and based on the derivatives of the convolution of the tails of the corresponding L\'evy measure, whose smoothness is also investigated. In this context the methods adopted are based on Laplace inversion and strongly rely on the theory of Bernstein functions extended to the cut complex plane. As a result, smoothness properties of densities (and their derivatives) and their behaviour near zero immediately follow.

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arXiv2022

Non-local heat equations with moving boundary

In this paper we consider non-local (in time) heat equations on time-increasing parabolic sets whose boundary is determined by a suitable curve. We provide a notion of solution for these equations and we study well-posedness under Dirichlet conditions outside the domain. A maximum principle is proved and used to derive uniqueness and continuity with respect to the initial datum of the solutions of the Dirichlet problem. Existence is proved by showing a stochastic representation based on the delayed Brownian motion killed on the boundary. Several related distributional properties of the delayed Brownian motion and its crossing probabilities are also obtained. The asymptotic behaviour of the mean square displacement of the process is determined, showing that the diffusive behaviour is anomalous.

math.PR↗

arXiv2021

Limit theorems for prices of options written on semi-Markov processes

We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in which intertrade times follow the Mittag-Leffler distribution, under appropriate scaling, we prove that these option prices converge to the price of an option written on geometric Brownian motion time-changed with the inverse stable subordinator. For geometric Brownian motion time changed with an inverse subordinator, in the more general case when the subordinator's Laplace exponent is a special Bernstein function, we derive a time-fractional generalization of the equation of Black and Scholes.

math.PR↗

arXiv2020

From semi-Markov random evolutions to scattering transport and superdiffusion

We here study random evolutions on Banach spaces, driven by a class of semi-Markov processes. The expectation (in the sense of Bochner) of such evolutions is shown to solve some abstract Cauchy problems. Further, the abstract telegraph (damped wave) equation is generalized to the case of semi-Markov perturbations. A special attention is devoted to semi-Markov models of scattering transport processes which can be represented through these evolutions. In particular, we consider random flights with infinite mean flight times which turn out to be governed by a semi-Markov generalization of a linear Boltzmann equation; their scaling limit is proved to converge to superdiffusive transport processes.

math.PR↗

arXiv2018

Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation

In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order $\alpha(x)$-fractional diffusion equation is a particular case of our analysis and it turns out that it is associated with a suitable (non-independent) time-change of the Brownian motion. The resulting process is semi-Markovian and its paths have intervals of constancy, as it happens for the delayed Brownian motion, suitable to model trapping effects induced by the medium. However in our scenario the interval of constancy may be position dependent and this means traps of space-varying depth as it happens in a disordered medium. The strength of the trapping is investigated by means of the asymptotic behaviour of the process: it is proved that, under some technical assumptions on $\alpha(x)$, traps make the process non-diffusive in the sense that it spends a negligible amount of time out of a neighborhood of the region $\text{argmin}(\alpha(x))$ to which it converges in probability under some more restrictive hypotheses on $\alpha(x)$.

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arXiv2017

On the exit time from open sets of some semi-Markov processes

In this paper we characterize the distribution of the first exit time from an arbitrary open set for a class of semi-Markov processes obtained as time-changed Markov processes. We estimate the asymptotic behaviour of the survival function (for large $t$) and of the distribution function (for small $t$) and we provide some conditions for absolute continuity. We have been inspired by a problem of neurophyshiology and our results are particularly usefull in this field, precisely for the so-called Leacky Integrate-and-Fire (LIF) models: the use of semi-Markov processes in these models appear to be realistic under several aspects, e.g., it makes the intertimes between spikes a r.v. with infinite expectation, which is a desiderable property. Hence, after the theoretical part, we provide a LIF model based on semi-Markov processes.

math.PR↗

arXiv2017

Semi-Markov models and motion in heterogeneous media

In this paper we study continuous time random walks (CTRWs) such that the holding time in each state has a distribution depending on the state itself. For such processes, we provide integro-differential (backward and forward) equations of Volterra type, exhibiting a position dependent convolution kernel. Particular attention is devoted to the case where the holding times have a power-law decaying density, whose exponent depends on the state itself, which leads to variable order fractional equations. A suitable limit yields a variable order fractional heat equation, which models anomalous diffusions in heterogeneous media.

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arXiv2017

On semi-Markov processes and their Kolmogorov's integro-differential equations

Semi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. This paper provides an integro-differential form of the Kolmogorov's backward equations for a large class of homogeneous semi-Markov processes, having the form of an abstract Volterra integro-differential equation. An equivalent evolutionary (differential) form of the equations is also provided. Fractional equations in the time variable are a particular case of our analysis. Weak limits of semi-Markov processes are also considered and their corresponding integro-differential Kolmogorov's equations are identified.

math.PR↗

arXiv2016

Time-inhomogeneous jump processes and variable order operators

In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not Lévy processes, they somehow generalize subordinators in the sense that their Laplace exponents are possibly different Bernštein functions for each time $t$. By means of these processes, a generalization of subordinate semigroups in the sense of Bochner is proposed. Because of time-inhomogeneity, two-parameter semigroups (propagators) arise and we provide a Phillips formula which leads to time dependent generators. The inverse processes are also investigated and the corresponding governing equations obtained in the form of generalized variable order fractional equations. An application to a generalized subordinate Brownian motion is also examined.

math.PR↗

arXiv2015

Space-time fractional equations and the related stable processes at random time

In this paper we consider the general fractional equation \sum_{j=1}^m λ_j \frac{\partial^{ν_j}}{\partial t^{ν_j}} w(x_1,..., x_n ; t) = -c^2 (-Δ)^βw(x_1,..., x_n ; t), for ν_j \in (0,1], β\in (0,1] with initial condition w(x_1,..., x_n ; 0)= \prod_{j=1}^n δ(x_j). The solution of the Cauchy problem above coincides with the distribution of the n-dimensional process \bm{S}_n^{2β} \mathcal{L} c^2 {L}^{ν_1,..., ν_m} (t) \r, t>0, where \bm{S}_n^{2β} is an isotropic stable process independent from {L}^{ν_1,..., ν_m}(t) which is the inverse of {H}^{ν_1,..., ν_m} (t) = \sum_{j=1}^m λ_j^{1/ν_j} H^{ν_j} (t), t>0, with H^{ν_j}(t) independent, positively-skewed stable r.v.'s of order ν_j. The problem considered includes the fractional telegraph equation as a special case as well as the governing equation of stable processes. The composition \bm{S}_n^{2β} (c^2 {L}^{ν_1,..., ν_m} (t)), t>0, supplies a probabilistic representation for the solutions of the fractional equations above and coincides for β= 1 with the n-dimensional Brownian motion at the time {L}^{ν_1,..., ν_m} (t), t>0. The iterated process {L}^{ν_1,..., ν_m}_r (t), t>0, inverse to {H}^{ν_1,..., ν_m}_r (t) =\sum_{j=1}^m λ_j^{1/ν_j} _1H^{ν_j} (_{2}H^{ν_j} (_3H^{ν_j} (... _{r}H^{ν_j} (t)...))), t>0, permits us to construct the process \bm{S}_n^{2β} (c^2 {L}^{ν_1,..., ν_m}_r (t)), t>0, the distribution of which solves a space-fractional generalized telegraph equation. For r \to \infty and β= 1 we obtain a distribution which represents the n-dimensional generalisation of the Gauss-Laplace law and solves the equation \sum_{j=1}^m λ_j w(x_1,..., x_n) = c^2 \sum_{j=1}^n \frac{\partial^2}{\partial x_j^2} w(x_1,..., x_n).

math.PR↗

arXiv2015

Relaxation patterns and semi-Markov dynamics

Exponential relaxation to equilibrium is a typical property of physical systems, but inhomogeneities are known to distort the exponential relaxation curve, leading to a wide variety of relaxation patterns. Power law relaxation is related to fractional derivatives in the time variable. More general relaxation patterns are considered here, and the corresponding semi-Markov processes are studied. Our method, based on Bernstein functions, unifies three different approaches in the literature.

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