Fractional Fokker-Planck-Kolmogorov equations associated with SDEs on a bounded domain

DOI10.1515/fca-2017-0067zbMath1374.60109arXiv1610.08100OpenAlexW2767885935MaRDI QIDQ1677979

Sabir R. Umarov

Publication date: 14 November 2017

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.08100

zbMATH Keywords

Lévy processfractional Fokker-Planck equationLévy subordinatorWaldenfels operatorSDE driven by time-changed processWentcel boundary condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20)

Related Items

Boundary conditions for fractional diffusion, The Method of Chernoff Approximation, Reprint of: boundary conditions for fractional diffusion, Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Space-time fractional diffusion on bounded domains
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Stochastic analysis of the fractional Brownian motion
• Solution for a fractional diffusion-wave equation defined in a bounded domain
• Stochastic processes in cell biology
• Fractional Cauchy problems on bounded domains
• Introduction to fractional and pseudo-differential equations with singular symbols
• SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
• Distributed order calculus and equations of ultraslow diffusion
• Cauchy and nonlocal multi-point problems for distributed order pseudo-differential equations. I
• Stochastic model for ultraslow diffusion
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• Natural and Modified Forms of Distributed-Order Fractional Diffusion Equations
• A data-driven alternative to the fractional Fokker–Planck equation
• The Malliavin Calculus and Related Topics
• On the existence of Feller semigroups with boundary conditions
• N.N. Bogolyubov and statistical mechanics
• Semigroups, Boundary Value Problems and Markov Processes
• Spectral Methods in Chemistry and Physics
• Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
• The general time fractional wave equation for a vibrating string
• Pseudo‐differential operators
• Fractional Fokker--Planck Equation with Space Dependent Drift and Diffusion: the Case of Tempered $\alpha $-stable Waiting-times
• Stochastic Calculus for Fractional Brownian Motion and Applications
• An algebra of pseudo‐differential operators
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Handbook of stochastic methods for physics, chemistry and natural sciences.