Feynman--Kac Transform for Anomalous Processes

DOI10.1137/21M1401528zbMath1481.60203OpenAlexW3207918961MaRDI QIDQ5158397

Weihua Deng, Zhen-Qing Chen, Peng-Bo Xu

Publication date: 22 October 2021

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1401528

zbMATH Keywords

Markov processsubordinatorfractional derivativeinverse subordinatorFeynman-Kac transformtime fractional equationanomalous process

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Fractional partial differential equations (35R11) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (3)

Fokker-Planck equation for Feynman-Kac transform of anomalous processes ⋮ Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions ⋮ Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential

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