Stochastic representation of subdiffusion processes with time-dependent drift
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Cites work
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- scientific article; zbMATH DE number 918811 (Why is no real title available?)
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- scientific article; zbMATH DE number 3217455 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A renewal-process-type expression for the moments of inverse subordinators
- Activity rates with very heavy tails
- An Introduction to the Theory of Point Processes
- Black-Scholes formula in subdiffusive regime
- Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
- Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
- Limit theorems for continuous-time random walks with infinite mean waiting times
- Limit theorems for randomly coarse grained continuous-time random walks
- Random walks on lattices. II
- Renewal theory and level passage by subordinators
- STATIONARITY OF DELAYED SUBORDINATORS
- Stochastic model for ultraslow diffusion
- Stochastic solution of space-time fractional diffusion equations
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
Cited in
(74)- Path properties of subdiffusion --- a martingale approach
- Lévy mixing related to distributed order calculus, subordinators and slow diffusions
- Relaxation patterns and semi-Markov dynamics
- Fractional Klein-Kramers dynamics for subdiffusion and Itô formula
- Small ball probabilities for a class of time-changed self-similar processes
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- Stochastic dynamics and passage times for diffusion approximations
- A fractional Fokker-Planck control framework for subdiffusion processes
- Cusping, transport and variance of solutions to generalized Fokker–Planck equations
- Parameter estimation for one-sided heavy-tailed distributions
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- Numerical solution for fractional model of Fokker-Planck equation by using q-HATM
- Black-Scholes formula in subdiffusive regime
- Estimates of perturbation series for kernels
- CDS pricing with fractional Hawkes processes
- Variational time-fractional mean field games
- Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
- Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- Stochastic stability of fractional Fokker-Planck equation
- On the fractional model of Fokker-Planck equations with two different operator
- Stochastic representation and Monte Carlo simulation for multiterm time-fractional diffusion equation
- Asymptotic behaviour of random walks with correlated temporal structure
- 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
- A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
- A subdiffusive stochastic volatility jump model
- Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes
- Fractional Fokker-Planck equation with space and time dependent drift and diffusion
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Brownian subordinators and fractional Cauchy problems
- Correlated continuous-time random walks -- scaling limits and Langevin picture
- On the number of empty boxes in the Bernoulli sieve I
- Fractional Lévy stable motion time-changed by gamma subordinator
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
- First passage times for some classes of fractional time-changed diffusions
- The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Feynman-Kac equation for anomalous processes with space- and time-dependent forces
- Long-memory Gaussian processes governed by generalized Fokker-Planck equations
- Maximum principle for controlled fractional Fokker-Planck equations
- Modeling anomalous diffusion by a subordinated integrated Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Asymptotic degeneracy and subdiffusivity
- Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Asymptotic properties and numerical simulation of multidimensional Lévy walks
- Langevin picture of Lévy walks and their extensions
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Large deviations for subordinated Brownian motion and applications
- Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Fractional Hawkes processes
- Subgeometric ergodicity under random-time state-dependent drift conditions
- Quenched trap model for Lévy flights
- Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Equivalence of subordinated processes with tempered \(\alpha\)-stable waiting times and fractional Fokker-Planck equations in space and time dependent fields
- Coupled continuous time-random walks in quenched random environment
- 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
- Well-posedness and simulation of weak solutions to the time-fractional Fokker-Planck equation with general forcing
- Analysis of a Dilute Polymer Model with a Time-Fractional Derivative
- Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- Spectral heat content for time-changed killed Brownian motions
- Optimal statistical inference for subdiffusion processes
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