Variance Gamma (nonlocal) equations
Volume 10, Issue 4 (2023), pp. 413–424
Pub. online: 25 September 2023
Type: Research Article
Open Access
Open Access
Received
20 February 2023
20 February 2023
Revised
9 June 2023
9 June 2023
Accepted
12 August 2023
12 August 2023
Published
25 September 2023
25 September 2023
Abstract
Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case. The connection to special functions is in focus, and a space equation for the process is studied. In conclusion, the convergence in distribution of a compound Poisson process to the Variance Gamma process is observed.
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