The fundamental solution of the master equation for a jump-diffusion Ornstein-Uhlenbeck process

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fractional partial differential equations (35R11) Jump processes on general state spaces (60J76)

Cites Work

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Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator
Stochastic methods. A handbook for the natural and social sciences
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On some new properties of the fundamental solution to the multi-dimensional space- and time-fractional diffusion-wave equation
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Exact solution of master equation with Gaussian and compound Poisson noises
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Ornstein–Uhlenbeck Processes and Extensions
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Financial Modelling with Jump Processes
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Non-Gaussian displacement distributions in models of heterogeneous active particle dynamics
On the solution of the Kolmogorov-Feller equation arising in the model of biological evolution

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