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

Kobayashi, Kei.
2017-04-18T13:58:17.372Z

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

Subjects
Tufts University. Department of Mathematics.
Permanent URL
http://hdl.handle.net/10427/011404
ID: tufts:20879
To Cite: DCA Citation Guide