Explicit representations for multiscale Lévy processes, and asymptotics of multifractal conservation laws

Abstract

Nonlinear conservation laws driven by Lévy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of the latter is of interest in the nonlinear theory. In this paper we concentrate on the case where the driving Lévy process is a multiscale stable (anomalous) diffusion, which corresponds to the case of multifractal conservation laws considered in [1-4]. The explicit representations, building on the previous work on single-scale problems (see, e.g.,[5]), are developed in terms of the special functions (such as Meijer G functions), and are amenable to direct numerical evaluations of relevant probabilities.