Path properties of subdiffusion --- a martingale approach
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Publication:3579002
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Cites work
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- A renewal-process-type expression for the moments of inverse subordinators
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- Monitoring of Stochastic Particle Systems: Analysis and Optimization
- STATIONARITY OF DELAYED SUBORDINATORS
- Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes
- Stochastic calculus for Brownian motion on a Brownian fracture
- Stochastic solution of space-time fractional diffusion equations
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Cited in
(50)- On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
- Ulam-Hyers-Rassias stability for stochastic differential equations driven by the time-changed Brownian motion
- Option pricing in subdiffusive Bachelier model
- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
- Fractional Klein-Kramers dynamics for subdiffusion and Itô formula
- Dynamical behavior of stochastic cellular neural networks with distributed time delays
- \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
- An elementary approach to subdiffusion
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Transport of magnetic bright points on the sun. Analysis of subdiffusion scenarios
- Black-Scholes formula in subdiffusive regime
- Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
- Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
- Coupled continuous time-random walks in quenched random environment
- Asymptotic stability of the time-changed stochastic delay differential equations with Markovian switching
- Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
- Stochastic Maximum Principle for Subdiffusions and Its Applications
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- Stochastic stability of fractional Fokker-Planck equation
- Lamperti transformation -- cure for ergodicity breaking
- Confined random motion with Laplace and Linnik statistics
- Identification and validation of fractional subdiffusion dynamics
- Brownian subordinators and fractional Cauchy problems
- Scaled Brownian motion with random anomalous diffusion exponent
- Two models of subdiffusion processes: when are they similar?
- Analysis of short subdiffusive time series: scatter of the time-averaged mean-squared displacement
- The ultimate boundedness of solutions for stochastic differential equations driven by time-changed Lévy noises
- Tempered fractional Langevin-Brownian motion with inverse \(\beta\)-stable subordinator
- Almost sure exponential stability for time-changed stochastic differential equations
- Feynman-Kac equation for anomalous processes with space- and time-dependent forces
- Characterizing anomalous diffusion by studying displacements
- Polynomial stability of highly non-linear time-changed stochastic differential equations
- Asymptotic degeneracy and subdiffusivity
- Stochastic classical solutions for space-time fractional evolution equations on a bounded domain
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Asymptotic properties and numerical simulation of multidimensional Lévy walks
- Exact asymptotic formulas for the heat kernels of space and time-fractional equations
- Langevin picture of Lévy walks and their extensions
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Large deviations for subordinated Brownian motion and applications
- Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
- Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Path dynamics of time-changed Lévy processes: a martingale approach
- Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
- Exponential stability for time-changed stochastic differential equations
- Fractional Poisson fields and martingales
- Quenched trap model for Lévy flights
- Optimal statistical inference for subdiffusion processes
- Stability analysis for a class of nonlinear time-changed systems
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