A stochastic differential equation model with jumps for fractional advection and dispersion

DOI10.1007/s10955-009-9794-1zbMath1181.60083OpenAlexW2074717726WikidataQ115382612 ScholiaQ115382612MaRDI QIDQ841148

Paramita Chakraborty

Publication date: 14 September 2009

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-009-9794-1

zbMATH Keywords

stochastic differential equationsstable processesMarkov propertyinfinitesimal generatorsforward equationjump type processespseoudodifferential (fractional) equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52) Transition functions, generators and resolvents (60J35)

Related Items

Distributed-order fractional diffusions on bounded domains, Weak error for continuous time Markov chains related to fractional in time P(I)DEs, Stable Lévy diffusion and related model fitting

Cites Work

• Tempering stable processes
• A symbolic calculus for pseudo differential operators generating Feller semigroups
• On using random walks to solve the space-fractional advection-dispersion equations
• APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
• Lévy Processes and Stochastic Calculus
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item