Maximum entropy method for solving Fokker-Planck equations driven by fractional Brownian motion

DOI10.16183/J.CNKI.JSJTU.2017.12.006MaRDI QIDQ3175461zbMATH OpenFDO

Authors Ling Peng, Fuji Xie

Publication date 18 July 2018

zbMATH Keywords

fractional Brownian motionFokker-Planck equationsmaximum entropy method

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fokker-Planck equations (35Q84)

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Cited in

(4)

• A Fokker–Planck equation of fractional order with respect to time
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
• Solution of the multivariate Fokker–Planck equation by using a maximum path entropy principle
• Maximum-entropy approach with higher moments for solving Fokker-Planck equation

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