相关论文: On time-changed Gaussian processes and their assoc…

In this paper Fokker-Planck-Kolmogorov type equations associated with stochastic differential equations driven by a time-changed fractional Brownian motion are derived. Two equivalent forms are suggested. The time-change process considered…

We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…

It is well-known that the transition function of the Ornstein-Uhlenbeck process solves the Fokker-Planck equation. This standard setting has been recently generalized in different directions, for example, by considering the so-called…

In this paper we study some properties of the generalized Fokker-Planck equation induced by the time-changed fractional Ornstein-Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such…

In this paper, we consider a type of time-changed Markov process, where the time-change is an inverse killed subordinator. This can be seen as an extension of Chen (Chen, Z., Time fractional equations and probabilistic representation, Chaos…

In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish that, despite the time change, the process admits a Gaussian…

We prove existence and uniqueness of solutions to Fokker--Planck equations associated to Markov operators multiplicatively perturbed by degenerate time-inhomogeneous coefficients. Precise conditions on the time-inhomogeneous coefficients…

The fractional Poisson process is a renewal process with Mittag-Leffler waiting times. Its distributions solve a time-fractional analogue of the Kolmogorov forward equation for a Poisson process. This paper shows that a traditional Poisson…

In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…

The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its…

In the present article, an approach to find the exact solution of the fractional Fokker-Planck equation is presented. It is based on transforming it to a system of first-order partial differential equation via Hopf transformation, together…

We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or…

Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H \in (0, 1)$ called the Hurst index. The use of time-changed processes in modeling often requires the…

A Brownian time process is a Markov process subordinated to the absolute value of an independent one-dimensional Brownian motion. Its transition densities solve an initial value problem involving the square of the generator of the original…

New kind of differential equations, called local fractional differential equations, has been proposed for the first time. They involve local fractional derivatives introduced recently. Such equations appear to be suitable to deal with…

In this paper we investigate the long time behavior of solutions to fractional in time evolution equations which appear as results of random time changes in Markov processes. We consider inverse subordinators as random times and use the…

In this work, we investigate a variational formulation for a time-fractional Fokker-Planck equation which arises in the study of complex physical systems involving anomalously slow diffusion. The model involves a fractional-order Caputo…

This paper focuses on finding an approximate solution of a kind of Fokker-Planck equation with time-dependent perturbations. A formulation of the approximate solution of the equation is constructed, and then the existence of the formulation…

Time-changed stochastic processes have attracted great attention and wide interests due to their extensive applications, especially in financial time series, biology and physics. This paper pays attention to a special stochastic process,…

We have derived a fractional Fokker-Planck equation for subdiffusion in a general space-and- time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived…