Bernstein Fractional Derivatives: Censoring and Stochastic Processes

Abstract

We define censored fractional Bernstein derivatives on the positive half-line based on the Bernstein--Riemann--Liouville fractional derivative. The censored fractional derivative turns out to be the generator of the censored decreasing subordinator $S^c=(S_t^c{)}_{t\ge 0}$, which is obtained either via a pathwise construction by removing those jumps from the decreasing subordinator $(x-S_t{)}_{t\ge 0}$, $x>0$, that drive the path into negative territory, or via the Hille--Yosida theorem. Then we show that the censored decreasing subordinator has only finite life-time, and we identify various probability distributions related to $S^c$.

arXiv commentReworked version of the paper "Censored fractional Bernstein derivatives and stochastic processes", arXiv:2406.12562