Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients (Q2790283)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients |
scientific article; zbMATH DE number 6549242
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients |
scientific article; zbMATH DE number 6549242 |
Statements
Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients (English)
0 references
3 March 2016
0 references
fractional subdiffusion equation
0 references
Fokker-Planck-Kolmogorov equation
0 references
fractional subdivision
0 references
Langevin equation
0 references
Lévy noise
0 references
Brownian motion
0 references
Monte Carlo methods
0 references
0 references
0 references
The authors state some results on the stochastic representation of a Fokker-Planck-Kolmogorov equation associated with a fractional subdivision process. It is shown that, in many cases, the corresponding process can be defined by a Langevin equation driven by Brownian motion and Lévy noise. This result provides new approaches to derive approximate solutions for fractional FPK equations using Monte Carlo methods.
0 references
