Fractional Lévy motion through path integrals

DOI10.1088/1751-8113/42/5/055003zbMATH Open1155.82014OpenAlexW3100668193MaRDI QIDQ3603151FDOQ3603151

Authors

Publication date 16 February 2009

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.1838

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: Fractional Levy motion (fLm) is the natural generalization of fractional Brownian motion in the context of self-similar stochastic processes and stable probability distributions. In this paper we give an explicit derivation of the propagator of fLm by using path integral methods. The propagators of Brownian motion and fractional Brownian motion are recovered as particular cases. The fractional diffusion equation corresponding to fLm is also obtained.

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Cited In (14)

• Fractional Lévy processes as a result of compact interval integral transformation
• A unifying representation of path integrals for fractional Brownian motions
• An energy-preserving computational approach for the semilinear space fractional damped Klein-Gordon equation with a generalized scalar potential
• Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise
• A path integral approach to random motion with nonlinear friction
• Path integral formulation of fractionally perturbed Lagrangian oscillators on fractal
• An accurate European option pricing model under fractional stable process based on Feynman path integral
• Derivation of the Selected Path Integral
• Lévy path integrals of particle on circle and some applications
• Path integral approach to fractional Lévy motion
• Path integral over reparametrizations: Lévy flights versus random walks
• The path integral formulation of fractional Brownian motion for the general Hurst exponent
• Fractional generalization of Kac integral
• Asymptotic behaviour of the distribution density of the fractional Lévy motion

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