Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime

DOI10.1007/s10955-011-0396-3zbMath1245.82054MaRDI QIDQ664561

Long-Jin Lǔ, Jin-Rong Liang, Jun Wang, Fu-Yao Ren, Hui Gu, Wei-Yuan Qiu

Publication date: 2 March 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-011-0396-3

zbMATH Keywords

anomalous diffusion; fractional Fokker-Planck equation; Black-Scholes equation; subordinated process

Mathematics Subject Classification ID

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

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

35R11: Fractional partial differential equations

35Q84: Fokker-Planck equations

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