SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations

DOI10.1007/s10959-010-0289-4zbMath1255.60064arXiv0907.0253OpenAlexW2105451800MaRDI QIDQ2428538

Kei Kobayashi, Marjorie G. Hahn, Sabir R. Umarov

Publication date: 26 April 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.0253

zbMATH Keywords

semimartingalesstochastic differential equationsKolmogorov equationLevy processespseudo-differential operatorstime-changefractional-order differential equationsstable subordinatordistributed-order differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Initial value problems for PDEs with pseudodifferential operators (35S10) Fractional partial differential equations (35R11)

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