Fokker-Planck-Kolmogorov equation for fBm: derivation and analytical solutions

MaRDI QIDQ5436717zbMATH OpenFDO

Authors Gazanfer Ünal

Publication date 17 January 2008

zbMATH Keywords

fractional Brownian motionLiouville theoremFokker-Planck-Kolmogorov equationItô systems

Mathematics Subject Classification ID

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

Recommendations

• New exact solutions to the Fokker-Planck-Kolmogorov equation
• FOKKER–PLANCK EQUATION FOR FRACTIONAL SYSTEMS
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
• scientific article; zbMATH DE number 671818

Cited in

(11)

• A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
• Impact of correlated noises on additive dynamical systems
• Maximum entropy method for solving Fokker-Planck equations driven by fractional Brownian motion
• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions
• Euler-Poisson-Darboux equations and iterated fractional Brownian motions
• scientific article; zbMATH DE number 5018695 (Why is no real title available?)
• New exact solutions to the Fokker-Planck-Kolmogorov equation
• Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
• The sub-fractional CEV model
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• The fractional and mixed-fractional CEV model

This page was built for publication: Fokker-Planck-Kolmogorov equation for fBm: derivation and analytical solutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5436717)