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

zbMATH Open1131.82034MaRDI QIDQ5436717FDOQ5436717

Authors: Gazanfer Ünal 

Publication date: 17 January 2008

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• scientific article; zbMATH DE number 671818

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)

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
• Title not available (Why is that?)
• Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
• New exact solutions to the Fokker-Planck-Kolmogorov equation
• The sub-fractional CEV model
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• The fractional and mixed-fractional CEV model

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