Stochastic representation of subdiffusion processes with time-dependent drift

DOI10.1016/j.spa.2009.05.006zbMath1180.60051MaRDI QIDQ734633

Marcin Magdziarz

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.05.006

zbMATH Keywords

fractional Fokker-Planck equation; inverse subordinator; subdiffusion; first-passage time; \(\alpha \)-stable distribution

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G99: Stochastic processes

60G52: Stable stochastic processes

Related Items

On the number of empty boxes in the Bernoulli sieve I, Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes, Langevin picture of Lévy walks and their extensions, Black-Scholes formula in subdiffusive regime, Estimates of perturbation series for kernels, Fractional Fokker-Planck equation with space and time dependent drift and diffusion, Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion, Langevin picture of subdiffusion with infinitely divisible waiting times, Large deviations for subordinated Brownian motion and applications, Asymptotic properties and numerical simulation of multidimensional Lévy walks

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