Beyond the triangle. Brownian motion, Ito calculus, and Fokker-Planck equation: fractional generalizations
DOI10.1142/10734zbMATH Open1403.60001OpenAlexW4246672086MaRDI QIDQ4606537FDOQ4606537
Authors: Marjorie G. Hahn, Kei Kobayashi, Sabir Umarov 
Publication date: 8 March 2018
Full work available at URL: https://doi.org/10.1142/10734
Recommendations
- Introduction to fractional and pseudo-differential equations with singular symbols
- Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
- Stochastic Calculus and Differential Equations for Physics and Finance
- Path integrals for stochastic processes. An introduction
- Stochastic processes and applications. Diffusion processes, the Fokker-Planck and Langevin equations
stochastic differential equationBrownian motionfractional Brownian motionFokker-Planck equationsubordinatorfractional calculusmaster equationMittag-Leffler functionssubordinationinverse subordinatortime-changeKolmogorov equationLévy processinverse subordination
Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Stable stochastic processes (60G52) Transition functions, generators and resolvents (60J35)
Cited In (33)
- Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
- \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
- Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects
- Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
- Bayesian inference of a stochastic diffusion process for the dynamic of HIV in closed heterosexual population with simulations and application to Morocco case
- An inverse problem of determining orders of systems of fractional pseudo-differential equations
- Parameter estimation for one-sided heavy-tailed distributions
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Ulam-Hyers-Rassias stability for stochastic differential equations driven by the time-changed Brownian motion
- Spectral heat content for time-changed killed Brownian motions
- Large-time and small-time behaviors of the spectral heat content for time-changed stable processes
- On a method of solution of systems of fractional pseudo-differential equations
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Time-fractional geometric Brownian motion from continuous time random walks
- Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
- Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
- Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion
- Distributions in the physical and engineering sciences. Volume 3. Random and anomalous fractional dynamics in continuous media
- On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- A hybrid parareal Monte Carlo algorithm for parabolic problems
- Determination of the order of fractional derivative for subdiffusion equations
- Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
- An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise
- Global attracting sets and exponential stability of stochastic functional differential equations driven by the time-changed Brownian motion
- McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion
- Fractional generalizations of Zakai equation and some solution methods
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- Regularity and asymptotics of densities of inverse subordinators
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- Inverse problem of determining the heat source density for the subdiffusion equation
- Polynomial stability of highly non-linear time-changed stochastic differential equations
- The method of Chernoff approximation
This page was built for publication: Beyond the triangle. Brownian motion, Ito calculus, and Fokker-Planck equation: fractional generalizations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4606537)
