Stochastic representation of fractional subdiffusion equation. The case of infinitely divisible waiting times, Levy noise and space-time-dependent coefficients

Autor:	Magdziarz, Marcin, Zorawik, Tomasz
Rok vydání:	2015
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient, the corresponding stochastic process can be obtained by subordinating two-dimensional system of Langevin equations driven by appropriate Brownian and Levy noises. Our result solves the problem of stochastic representation of subdiffusive Fokker-Planck dynamics in full generality.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1509.09051 Zobrazit plný text záznamu View this record from Arxiv