Beyond the triangle Brownian motion, Ito calculus, and Fokker-Planck equation : fractional generalizations / [electronic resource] :

• 作者： Umarov, Sabir.
• 其他作者：
  • Hahn, Marjorie G.
  • Kobayashi, Kei.
• 出版： Singapore : World Scientific
• 版本：1st ed.
• 主題： Brownian motion processes. , Fokker-Planck equation. , Stochastic differential equations. , Electronic books.
• ISBN： 9789813230927 (electronic bk.)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Includes bibliographical references (p. 161-173) and index.
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• 摘要註: "The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker–Planck–Kolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators; and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction. This book is important since the latest developments in the field, including the role of driving processes and their scaling limits, the forms of corresponding stochastic differential equations, and associated FPK equations, are systematically presented. Examples and important applications to various scientific, engineering, and economics problems make the book attractive for all interested researchers, educators, and graduate students."--
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