Fokker–Planck and Kolmogorov backward equations for continuous time random walk scaling limits

DOI10.1090/proc/13203zbMath1356.60052arXiv1501.00533OpenAlexW2303474209MaRDI QIDQ2832839

Peter Straka, Boris Baeumer

Publication date: 14 November 2016

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00533

zbMATH Keywords

subordinationtransienceFokker-Planck equationsanomalous diffusionfractional derivativeFeller processscaling limitsfractional kineticscontinuous-time random walkKolmogorov backward equationscoupled random walksSkorokhod continuity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Fractional derivatives and integrals (26A33) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Fokker-Planck equations (35Q84)

Related Items (7)

On semi-Markov processes and their Kolmogorov's integro-differential equations ⋮ Variable order fractional Fokker-Planck equations derived from continuous time random walks ⋮ From semi-Markov random evolutions to scattering transport and superdiffusion ⋮ A Semi-Markov Algorithm for Continuous Time Random Walk Limit Distributions ⋮ Correlated continuous time random walks and fractional Pearson diffusions ⋮ Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation ⋮ Space-time coupled evolution equations and their stochastic solutions

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