Beyond the triangle. Brownian motion, Ito calculus, and Fokker-Planck equation: fractional generalizations
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Brownian motionFokker-Planck equationfractional Brownian motionfractional calculusinverse subordinationinverse subordinatorKolmogorov equationLévy processmaster equationMittag-Leffler functionsstochastic differential equationsubordinationsubordinatortime-change
Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15)
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Cited in
(50)- Distributions in the physical and engineering sciences. Volume 3. Random and anomalous fractional dynamics in continuous media
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- Fractional generalizations of Zakai equation and some solution methods
- Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
- Parameter estimation for one-sided heavy-tailed distributions
- On a method of solution of systems of fractional pseudo-differential equations
- 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
- 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
- An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise
- Time-fractional geometric Brownian motion from continuous time random walks
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Semi-implicit Euler-Maruyama method for non-linear time-changed 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
- Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Determination of the order of fractional derivative for subdiffusion equations
- Global attracting sets and exponential stability of stochastic functional differential equations driven by the time-changed Brownian motion
- Large-time and small-time behaviors of the spectral heat content for time-changed stable processes
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects
- The method of Chernoff approximation
- Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
- On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
- McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion
- Spectral heat content for time-changed killed Brownian motions
- Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion
- \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
- Ulam-Hyers-Rassias stability for stochastic differential equations driven by the time-changed Brownian motion
- Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
- Regularity and asymptotics of densities of inverse subordinators
- A class of time-changed McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
- Space-time-dependent source identification problem for a subdiffusion equation
- From standard to generalized Schrödinger and Klein-Gordon equations: subordination approach
- On determining the fractional exponent of the subdiffusion equation
- A criterion for absolute continuity relative to the law of fractional Brownian motion
- -stability for stochastic functional differential equation with Markovian switching driven by time-changed Brownian motion
- Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and Hölder's continuous time variables
- Continuous-time random walks in a backbone structure: stochastic resetting and fractional operators
- Strong convergence and Mittag-Leffler stability of stochastic theta method for time-changed stochastic differential equations
- Fractional calculus modifications to the kinetic equations of statistical mechanics
- h-stability for a class of time-changed systems
- Anomalous dynamics in complex quantum systems with nonlocal interactions
- Fractional stochastic differential equations with the time-changed Brownian motion
- Weak convergence of stochastic integrals on Skorokhod space in Skorokhod's J₁ and M₁ topologies
- Viability of McKean-Vlasov stochastic differential equations driven by time-changed Brownian motion
- Option pricing model using time-changed Brownian motion: fractional neutral stochastic system's stability and T-controllability
- A Milstein-type method for highly non-linear non-autonomous time-changed stochastic differential equations
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