Geodesic
Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations
Fractional calculus and applied analysis, Tome 14 (2011) no. 1, pp. 56-79.

Voir la notice de l'article provenant de la source Bulgarian Digital Mathematics Library

There is a well-known relationship between the Itô stochastic differential equations (SDEs) and the associated partial differential equations called Fokker-Planck equations, also called Kolmogorov equations. The Brownian motion plays the role of the basic driving process for SDEs. This paper provides fractional generalizations of the triple relationship between the driving process, corresponding SDEs and deterministic fractional order Fokker-Planck-Kolmogorov type equations.
Keywords: Fractional Differential Equation (FDE), Lévy Process, Time-Change, Stable Subordinator, Stochastic Differential Equation (SDE), Fokker-Planck Equation, Kolmogorov Equations 
@article{FCAA_2011_14_1_a3,
     author = {Hahn, Marjorie and Umarov, Sabir},
     title = {Fractional {Fokker-Planck-Kolmogorov} type {Equations} and their {Associated} {Stochastic} {Differential} {Equations}},
     journal = {Fractional calculus and applied analysis},
     pages = {56--79},
     publisher = {mathdoc},
     volume = {14},
     number = {1},
     year = {2011},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/FCAA_2011_14_1_a3/}
}
TY  - JOUR
AU  - Hahn, Marjorie
AU  - Umarov, Sabir
TI  - Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations
JO  - Fractional calculus and applied analysis
PY  - 2011
SP  - 56
EP  - 79
VL  - 14
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/FCAA_2011_14_1_a3/
LA  - en
ID  - FCAA_2011_14_1_a3
ER  - 
%0 Journal Article
%A Hahn, Marjorie
%A Umarov, Sabir
%T Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations
%J Fractional calculus and applied analysis
%D 2011
%P 56-79
%V 14
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/FCAA_2011_14_1_a3/
%G en
%F FCAA_2011_14_1_a3
Hahn, Marjorie; Umarov, Sabir. Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations. Fractional calculus and applied analysis, Tome 14 (2011) no. 1, pp. 56-79. http://geodesic.mathdoc.fr/item/FCAA_2011_14_1_a3/