Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
DOI10.1090/proc/12856zbMath1335.60126arXiv1509.09051OpenAlexW2962687925MaRDI QIDQ2790283
Marcin Magdziarz, Tomasz Zorawik
Publication date: 3 March 2016
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.09051
Brownian motionLangevin equationMonte Carlo methodsFokker-Planck-Kolmogorov equationLévy noisefractional subdiffusion equationfractional subdivision
Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)
Related Items (13)
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