Stochastic representation of subdiffusion processes with time-dependent drift

DOI10.1016/J.SPA.2009.05.006zbMATH Open1180.60051OpenAlexW2130253079MaRDI QIDQ734633FDOQ734633

Authors: 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

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zbMATH Keywords

inverse subordinatorsubdiffusionfractional Fokker-Planck equationfirst-passage time\(\alpha \)-stable distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Stochastic processes (60G99)

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Cited In (74)

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• From Lévy walks to fractional material derivative: pointwise representation and a numerical scheme
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• Well-posedness and simulation of weak solutions to the time-fractional Fokker-Planck equation with general forcing
• Optimal statistical inference for subdiffusion processes
• Analysis of a Dilute Polymer Model with a Time-Fractional Derivative
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• Equivalence of subordinated processes with tempered \(\alpha\)-stable waiting times and fractional Fokker-Planck equations in space and time dependent fields
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• A fractional Fokker-Planck control framework for subdiffusion processes
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• CDS pricing with fractional Hawkes processes
• Fractional Hawkes processes
• Fractional Brownian motion time-changed by gamma and inverse gamma process
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• Small ball probabilities for a class of time-changed self-similar processes
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• A subdiffusive stochastic volatility jump model
• Parameter estimation for one-sided heavy-tailed distributions
• Estimates of perturbation series for kernels
• Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
• Anomalous diffusion in nonhomogeneous media: power spectral density of signals generated by time-subordinated nonlinear Langevin equations
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Quenched trap model for Lévy flights
• Fractional Klein-Kramers dynamics for subdiffusion and Itô formula
• Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
• Black-Scholes formula in subdiffusive regime
• Feynman-Kac equation for anomalous processes with space- and time-dependent forces
• On the fractional model of Fokker-Planck equations with two different operator
• Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
• Relaxation patterns and semi-Markov dynamics
• Stochastic representation and Monte Carlo simulation for multiterm time-fractional diffusion equation
• Maximum principle for controlled fractional Fokker-Planck equations
• Langevin picture of Lévy walks and their extensions
• Large deviations for subordinated Brownian motion and applications
• Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
• Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
• Option pricing in illiquid markets: a fractional jump-diffusion approach
• Path properties of subdiffusion --- a martingale approach
• Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
• Cusping, transport and variance of solutions to generalized Fokker–Planck equations
• Stochastic dynamics and passage times for diffusion approximations
• Asymptotic degeneracy and subdiffusivity
• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Subgeometric ergodicity under random-time state-dependent drift conditions
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• On the number of empty boxes in the Bernoulli sieve I
• Modeling anomalous diffusion by a subordinated integrated Brownian motion
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
• The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations
• Langevin picture of subdiffusion with infinitely divisible waiting times
• Variational time-fractional mean field games
• Asymptotic properties of Brownian motion delayed by inverse subordinators
• Stochastic stability of fractional Fokker-Planck equation
• Fractional Fokker-Planck equation with space and time dependent drift and diffusion
• Lévy mixing related to distributed order calculus, subordinators and slow diffusions
• Numerical solution for fractional model of Fokker-Planck equation by using q-HATM
• Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes
• Long-memory Gaussian processes governed by generalized Fokker-Planck equations
• Fractional Lévy stable motion time-changed by gamma subordinator
• First passage times for some classes of fractional time-changed diffusions
• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• Brownian subordinators and fractional Cauchy problems
• Correlated continuous-time random walks -- scaling limits and Langevin picture
• Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
• Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
• Asymptotic properties and numerical simulation of multidimensional Lévy walks

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