Time-changed Stochastic Processes and Associated Fractional Order Partial Differential Equations.

Kobayashi, Kei.

Abstract: It is known that the transition probabilities of the solution to a classical Itô stochastic differential equation (SDE) satisfy in the weak sense the associated Kolmogorov or Fokker-Planck equation. The Kolmogorov equation, which describes dynamics of the solution to the SDE, is a partial differential equation involving a first-order time derivative. In many applications, however, Kolmog... read more

Tufts University. Department of Mathematics.
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ID: tufts:20879
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